This is not issue but is a common behaviour of HFM Client as far as I know.
The HFM Client requires a temporary local storage folder where it can place temporary files when you work with the application using the HFM Client. It will ask for this local storage folder only for first time when a user opens an application. It will not ask for this information when the user opens the application the next time.
If you think it is asking everytime when the user accesses the application then I would assume that the Citrix session might be deleting temporary folder created, for some reason which you need to check why with your IT team.