It appears that the installation of Citrix Management Agent and PV drivers from Windows Update won't work on other OS locale than English (like French or German). The Operating System will tell you that no compatible drivers has been found from Windows Update.
Here a proof :
Translation : The drivers for this device are not installed. (Code 28). There are no compatible drivers for this device.
If you take a look on the Windows Update Catalog, you can understand that only English seems supported for these drivers :
If you take random drivers from the Windows Update Catalog, you can see that almost or all the languages/locales are supported :