HDX stands for High Definition eXperience. It's more than a technology; it's a brand that encapsulates several different features, some of which were already previously available with different names.
Citrix created the HDX brand to group together all the elements that deliver high-definition experience to XenApp/XenDesktop users. HDX is designed to take advantage, when possible, of the processing power of end user devices.
HDX MediaStream is a set of features to optimize the delivery of video/audio content.
It offloads, when possible, the rendering of media content to the user device, reducing server's CPU load and bandwidth usage. Because the media content is processed on the user's device, the playback is not affected by latency.