Had this same problem under Windows 10.
Started x2goclient.debug --debug and it showed me that the
permissions for the ssh_host_rsa_key are too open (0770).
Installed cygwin to check these permissions under windows and the user-
and groupname where the same username. The rights where 700. Somehow the
rights for the group where inherited from the user when they have the
Fixed it by changing the group for ssh_host_rsa_key from the username to
'Users' under cygwin.
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