I've done some additional testing, prompted by your mention of the banner being configured using the Banner option in sshd_config. It turns out we are *not* using the sshd config option -- instead, we are displaying the banner using the pam_echo module, configured with the following line in /etc/pam.d/sshd:
auth optional pam_echo.so file=/etc/issue.net
What I've found so far is that the same /etc/issue.net plays nice with x2go when configured via the Banner option, but causes an auth failure when configured using pam_echo.so.
I'm going to do some more digging to see if I can figure out what the difference is. Oddly, if I cut/paste the output from the OpenSSH client (on Linux) up to and including the Password: prompt, and do a diff between the two, they are byte-for-byte identical.
By the way, the reason we use pam_echo.so instead of the Banner option is because we actually have two banners -- /etc/issue/net for the standard security boilerplate which is always displayed, and /etc/issue.alcf which is normally empty but is populated with information during our scheduled maintenance windows when logins are disabled. However, I've confirmed that the problem still occurs even if I configure pam_echo.so to only display /etc/issue.net
-Andrew