If you print a report to the screen and then Send to Mail as PDF it was fast, but if you try to directly email the report as a PDF it would be really slow (minutes rather than seconds).
I was not able to find anything from the Microsoft Dynamics GP side that could be the issue and so asked the partner to talk to Adobe.
The end result was that there is a known issue with Adobe X where it is not compatible with Citrix.
Once the customer upgrade to Adobe XI, the issue went away.
For more information have a look at this article from the Adobe website:
Hopefully this will avoid the stress we had working on this case.