As posted on VMwareinfo.com:

Great tip from Sam Jacobs on hiding the XenApp tray icon.

By default, when seamless applications are launched, an icon is place in the system tray which can be opened to show sessions and servers.  [More things to confuse the Users! ]

To suppress the icon from appearing, the following RegKey can be placed into each XenApp server’s registry:

HKEY_LOCAL_MACHINE/System/CurrentControlSet/Control/Citrix/wfshell/TWI
Value Name: SeamlessFlags
Value Type: REG_DWORD
Value: 0×20