This one drives me mad sometimes.
If you launch an RDP session while remotely connected via Citrix, often when typing a capital letter using the shift key, the shift will be ignored and only the lower case is typed. Subsequent upper case characters work fine, its just the first one in a sequence that fails. This particularly annoying when trying to type passwords which contain upper case letters because with the pasword obscured by *’s you can’t even see that the shift key hasn’t worked.
It seems that the first shift key gets “lost in translation”.
I usually have to get around it by hitting the shift key 2 or 3 times before the first alpha character or use caps lock with works fine for alpha chars but no good if you need to type a symbol such as “:” which is a shify key combination but is not an uppercase char that caps lock enables.
This Citrix support article http://support.citrix.com/article/CTX110281 suggests to use “On the local computer” as the seting for “Apply Windows key combinations” in the RDP session options but this has not always worked for me but it’s worth a try in some situations.