If you’re looking to setup the PNAgent to pass through your windows credentials to XenApp but your PNAgent does not have the Pass-through authentication option, even though you selected allow computer to pass through credentials during the application installion here is a fix for you.  I’ve been running into this issue pretty often but fixed it by uninstalling the XenApp PNAgent client.  But here’s a better way that doesn’t require unininstalling your Citrix PNAgent client. 

Solution:

1.  Open the registry and navigate to: HKLM\System\CurrentControlSet\Control\NetworkProvider\HwOrder
2.  Double-click on ProviderOrder string and place PnSson in the beggining of the string
3.  Do the same for HKLM\System\CurrentControlSet\Control\NetworkProvider\Order

Now reboot, click XenApp options and then select Pass-through as your logon method.