Actually, I was not calling the python script correctly. See it working below.
But the .exe it generates still does not work:
mike@EXECUTOR:/c/x2gobuilds/pyhoca-gui :( [81] $ python ./pyhoca-gui
### PyHoca-GUI running in development mode ###
(I exited PyHoca-GUI through its GUI.)
mike@EXECUTOR:/c/x2gobuilds/pyhoca-gui :) [82] $ python ./pyhoca-gui
--debug --libdebug
### PyHoca-GUI running in development mode ###
pyhoca-gui[964] (PyHoca-GUI) DEBUG: PyHoca-GUI's user interface language is: en.
pyhoca-gui[964] (x2goinifiles-pylib) INFO: proposed config files are
['z:\\.x2goclient\\sessions']
pyhoca-gui[964] (x2goinifiles-pylib) INFO: config files found:
['z:\\.x2goclient\\sessions']
pyhoca-gui[964] (x2goinifiles-pylib) INFO: proposed config files are
['z:\\.x2goclient\\settings']
pyhoca-gui[964] (x2goinifiles-pylib) INFO: config files found:
['z:\\.x2goclient\\settings']
pyhoca-gui[964] (x2goinifiles-pylib) INFO: proposed config files are
['z:\\.x2goclient\\printing']
pyhoca-gui[964] (x2goinifiles-pylib) INFO: config files found:
['z:\\.x2goclient\\printing']
pyhoca-gui[964] (PyHoca-GUI) INFO: PyHoca GUI is starting up
pyhoca-gui[964] (PyHoca-GUI) INFO: start TaskBarIcon of type:
('__WXMSW__', 'wxMSW', 'unicode', 'wx-assertions-on', 'SWIG-1.3.29')
pyhoca-gui[964] (x2goguardian-pylib) DEBUG: Entering X2Go Guardian
client management loop...
pyhoca-gui[964] (PyHoca-GUI) INFO: exit application
pyhoca-gui[964] (x2goguardian-pylib) DEBUG: X2Go session guardian
thread waking up after 7 seconds
(I exited PyHoca-GUI through its GUI.)