This is only supported for the MUH client:
Terminal Servers Identity Agent
Dedicated client agent installed on Microsoft® Windows-based application server that hosts Terminal Servers, Citrix XenApp, and Citrix XenDesktop services. This client agent acquires and reports identities to the Check Point Identity Awareness Security Gateway. In the past, this client agent was called Multi-User Host (MUH) Agent.
You can download the Terminal Servers Identity Agent from the Identity Awareness Gateway:
CCSE CCTE CCSM SMB Specialist