Publish a desktop to an affected user and log them in.
Right click on (my) Computer and click properties ag go to the advanced tab
Click on "Settings" in the "Performance" section.
Change the Visual Effects to "Adjust for best performance", click Apply.
Now check and enable "Fade or slide menus into view".
Click Apply again
Pop over and verify in Word that the Live Preview is enabled.
To deploy this setting to all users, Log off / Log on back on with the current user.
Export the Registry-Key "HKEY_CURRENT_USER\Control Panel\Desktop\"
and delete all in the Reg-Export except "UserPreferencesMask"
Save it and deploy it to the other users by GPO
This will enable live preview for all users.
Not strictly a Citrix issue but hey, we're here to help :-)