I am on a Windows 10 Pro 1703 with Citrix Receiver/Desktop Lock 4.8. We have created an image from a unit using MDT, everything seems to work fine upon deploying except for Desktop Lock.
Desktop lock seems to lose its configuration completely after deployment, as when you sign in with a normal user, it doesn't kick in at all (Shell doesn't get locked, normal Windows shell displays). Only way to fix this is to run a repair on the application or re-install, then reboot.
This isn't a huge issue as there's the workaround, but we are due to deploy over 500 new machines soon and would like it to 'just work' from the MDT deployment as this will save a huge chunk of time.