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Citrix has removed this feature starting with Receiver for Mac 11.4.X according to http://support.citrix.com/article/CTX120811

The information below has been taken from the Citrix article that can be found in the link above:

"The Mac ICA Client also brings with it the Enable Print Dialog feature. The Enable Print Dialog feature presents the user with a local print dialog on selecting print from the published application. Any configured printer might then be selected to send the job. Enable Print Dialog feature can be enabled or disabled using the File menu of the Citrix ICA Client.

Note:The Enable Print Dialog feature has been removed starting with version 11.4.x and later per Citrix Documentation - "Users are now shown a single print dialog when printing, instead of the two print dialogs shown in previous releases.""