I observed an interesting HFR04 deployment that encountered some obscure issues.

Environment Details:
Windows 2008 R2 SP1 with XenApp 6.5 HFR02
IE 8
Citrix Profile Management 4.1.1
RSOP logging disabled

After HFR04 was deployed to about 25% of the servers, we started seeing high CPU utilization coming from svchost.exe for gpsvc (Group Policy Service). Further investigation revealed hung sessions listed in the DOWN state in Terminal Services Admin. Those sessions were not visible in Citrix App Center. The down sessions typically had DWM.exe and TSThemes.exe still running, and rundll32.exe running in a few cases. Terminating those processes cleared the sessions and gpsvc CPU utilization gradually returned to normal. Additionally we disabled the Themes and Desktop Window Manager Session Manager services which are for Windows Themes and Aero respectively, so those processes are no longer running for new user sessions. Something with R04 has changed the behavior of those two processes, though I'm unable to determine exactly what at this point.