Why is there no toolbar in a fullscreen Citrix/Horizon desktop on my Raspberry Pi?

Both Citrix Workspace App and VMware Horizon Client have minimally functional support for H.264 hardware acceleration that prevents use of their drop-down toolbars. The nature of the H.264 hardware acceleration overlay is such that implementing add-ons of this type is extremely difficult, and neither vendor has dealt with the problem yet.

In the Citrix case, when H.264 hardware decoding is in use the toolbar is invisible but can still be clicked on using the mouse, which causes such confusion that we've had to deliberately disable it to avoid this.  In the VMware case, the drop-down menu appears as a single pixel only, and cannot be clicked on.

You can escape a Citrix HDX fullscreen session  by using <Ctrl><F2> to release the mouse and keyboard, after which you can enter local window manager commands such as <Alt><Tab> to get back to your application list and perhaps start a second sesssion.  Regrettably, Horizon Client has no such hotkeys, so there is no way other than the (probably absent) toolbar to break out of a fullscreen H.264-accelerated Horizon session on the Raspberry Pi.

In both cases you can turn accelerated H.264 off - in the Citrix case, by using TMS or Tlxconfig to set the HDX Submode to JPEG instead (or "H.264 (Software Only)", but on the Pi this is so slow that you'd never want to use it), and in Horizon mode, by disabling H.264 in the client UI, or using the "BLAST (no H.264)" submode if this exists.  Doing this will degrade performance, but you may get your drop-down toolbar/menu bar back (see below).

Unfortunately recent releases of Horizon Client (probably 5.0 and later, this hasn't been methodically tested) disable the toolbar whenever only a single monitor is in use, regardless of whether H.264 is being used or not, so currently the only way to get your toolbar back is to use a Pi 4 with dual monitors.  In earlier Horizon Client releases it was possible to restore the missing toolbar by turning H.264 off (either in the Horizon Client GUI, or by using Submode "BLAST (no H.264)").

In theory you could work around the no-escape-from-fullscreen-Horizon problem if there were a way to voluntarily disconnect the Horizon session from Windows, but I don't know of any way to do that cleanly/reliably.

If you have no alternative, powering off your Pi will disconnect the Horizon session and will not harm anything.  TLXOS is designed to discard changes and reset to a known good state when this happens, so there is no chance of data corruption in the event of unexpected power loss (unless the device happened to be in the process of shutting down cleanly at the time, and you were very unlucky).