@ScottC37 The plug-in is installed if you have Visual Studio 2015. If VS2015 is running inside XenApp, then you may install the plug-in alongside it.
I would not suggest running Studio as a Xen App though as you really ought to have access to your physical machine for development work. You might need access to additional tools or specific files as you are performing development tasks. Having only the ability to launch Studio (or the plug-in for Visual Studio) will hinder your ability to develop solutions effectively. Assuming however that all of the applications you wish to work with are present on that Citrix server, then it should work fine.
@ScottC37 The only difference between the two for development is the file extension of the solution file. For Studio, the solution file extension is ".ossln". For the Plug-In for VS2015, the extension is ".sln". You can simply rename that file with the appropriate extension and open it in the corresponding version.