If there is a problem with your session, then simply disconnecting and reconnecting won't help. Nothing will happen on the server side. Many errors can only be solved by a logoff and a subsequent logon.
If you want to keep your VM session running and only disconnect from it, go to the black Citrix menu in top of the window and select Disconnect:
The same happens if you close the window with the button in the top right corner:
Use the disconnect procedure if you have not finished your work but need to interrupt it for example if you want to connect from a different computer.
If you want to terminate your VM session click on the orange Logoff button on the Desktop:
Alternatively you can log-off in the start menu: