Included version of PulseAudion consumes too much CPU with default settings. I've observed such behaviour on my laptop with single core CPU and WinXP SP3 x86.
It looks like pulseaudio.exe uses some polling: (stacktrace from Process Explorer) ntdll.dll!KiFastSystemCallRet USER32.dll!GetLastInputInfo+0x105 USER32.dll!MsgWaitForMultipleObjects+0x1f libpulsecommon-5.0.dll!pa_poll+0x2f7 libpulse-0.dll!pa_mainloop_poll+0x185 pulseaudio.exe+0x13de kernel32.dll!RegisterWaitForInputIdle+0x49
and frequency depends on priority of process. By default pulseaudio.exe is started with high priority (13, I don't know whether this setting is set by PA or X2Go Client) and it leads to ~100% CPU load. When I set priority to "Above Normal (10)" PA's CPU load drops to 10-20%. With "Normal (8)" it drops to almost 0%, although sound is still played stable, without any additional delays.