I realize you have not applied the Microsoft Rollup, but we did have a similar situation after we did install the Microsoft Rollup to our Metaframe XP on Win2k servers. When a user would logout, Winlogon would max out the cpu.
In our case, we made a registry change noted on the Citrix site (the note has since been removed as it is part of the Citrix hotfix, but you can find a reference here :
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Workaround
Citrix recommends the following:
1. Open Regedt32
2. Navigate to the following location:
HKLM\Software\Citrix\Ctxhook\AppInit_Dlls\Smart Card Hook
3. Rename the "FilePathName" key from "scardhook.dll" to "scardhook.dll.old"
4. Reboot the server
Please Note - If you require smartcard functionality in your environment the temporary workaround is to uninstall the Microsoft Update Rollup 1 for Windows 2000 SP4 (KB article ID 891861).
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I have no idea if this will help since you havent installed the Microsoft rollup, but its easy to test and reverse if it makes no difference.
Good luck !