Are there any good reasons to publish remote desktop software using XenApp?
For example, can ICA improve the connection in low bandwidth situations?
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Do you mean using Citrix XenApp to publish the RDP Client? If so, then yes, there are a couple of reasonable reasons you may wish to do this:
Although the RDP connections themselves won't be optimised the screen updates back to the end user will be over ICA so will get the relevant benefits. This will make connecting from a slower connection a better experience.
It allows you to use the security of your Citrix platform and use the XenApp server as a 'jump pad' to other servers. This is especially true if you use a CAG or CSG - all connections will remain secure and encrypted, regardless of RDP settings. It also means you don't need an RD Gateway or to (heaven forbid) open your servers up to external RDP access.
You could configure your servers to only allow RDP connections from your XenApp servers, thereby adding an extra layer of security even inside the organisation.
You can still continue to configure your environment using Citrix Policies. E.g, preventing remote drive mappings. Remember this only applies for the session on the XenApp server, though.
Consistency in remote access - just one way in, regardless of the users intentions
That's not to say you should do this, just that there can be very valid reasons for doing so.