This problem occurs in Terminal Server mode: in the Citrix Console, everything looks fine. So it is not linked especially with citrix. It must be in relation with rdp.
As I explained, when the logging off appears, on the server, there is no task in the task manager which appears for the user who is logging off. But his accout is still opened in users tab (from the task manager).
If I log it off from there, his profile closed immediately.
I wonder if it is in relation with the user's printers or components disconnection...