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What do you mean by "XenApp configuration"? Are you being meet by a second login? Never used MS App Proxy, but I would definitely take a look at Netscaler for your load balancing.

App proxy works fine for accessing the Storefront and doing MFA auth. and SSO. And we did a NAT to XenApp server through a Kemp virtual service. I'm not sure about how to set up the delivery controller as I understand that is the one assigning users to XenApp servers. In the ICA file the XenApp host name is defined, and when using public DNS, does it mean that we need to define all XenApp servers in the public DNS? If that is the case, what is the purpose of the load balancer other than working as a reverse proxy? I'll investigate more internally as I have quite a lot of questions :)

You will need a NetScaler appliance (or Citrix Gateway Service if using Citrix Cloud) to proxy virtual desktop/virtual app traffic - it's a special case and can't just be natted. You can do it with other brand ADCs (F5 etc) but it's not a supported solution.