Hi Dan,
While you have already ensured that the Citrix server does not use Special Folder Redirection to write files to the client machine itself, a Windows policy which allows content to be stored on another server in the same satellite office is going to cause the same performance issues in ArcMap.
It would certainly be nice if you could change a setting in our application to modify the default location of the geodatabase, but centralized file management is one of the principal benefits of a Citrix system and this benefit is undermined when you store user profiles on a machine which utilizes a WAN connection to communicate with your Citrix server.