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
same owner/group-name.
Fixed it by changing the group for ssh_host_rsa_key from the username to
'Users' under cygwin.
Guido