If you haven't already done so, you need to install the Agent for Citrix Server on your Citrix servers. It would have been helpful to have this installed prior to scripting. The agent can be found in the LoadRunner install files:
\\DVD\Additional Components\Agent for Citrix Server
(Most typically: C:\Temp\HP LoadRunner 12.01 Community Edition\DVD\Additional Components\Agent for Citrix Server)
Even though you're getting that error, you should still be able to replay your scripts.