Because your Sony doesn't have to send all the graphical updates over the network to another machine. The network kills graphical performance when you're remoting applications. This is particularly noticeable when using mobile devices which are using 3G or WIFI since the latency is quite high. Every single graphical update your app makes is encoding into a JPEG and then sent over the wire to the receiver. So you're looking at 10's if not 100's of ms for updates to be seen on the client depending on network conditions.
Performance for graphically intensive apps is getting better on Citrix. Later versions of the server/receiver support H264 encoding which improves performance considerably, e.g.
http://blogs.citrix.com/2013/11/06/go-supersonic-with-xendesktop-7-x-bandwidth-supercodecs/
Other technology like Framehawk is also being integrated in the Citrix stack which improves performance in poor network conditions:
http://blogs.citrix.com/2014/01/08/framehawk-will-take-our-hdx-technology-to-the-limit/