By design, the monitor needs a "local" memory in order to store the anonymous id and other meta data. This can be in IsolatedStorage but can also be on the file system. If your Citrix environment have any place on the file system that is unique to the user, then you should hook up the storage to such a location.
I haven't tested it, but perhaps you could use a network location to store the files. You should probably tests that really well as we do not have any test scenarios covering that at the moment.
Hope this helps
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