Does this happen on 4.0.2.0? Both versions use PulseAudio 5.0.
They even use the same exact build of PulseAudio.
I've downloaded
http://code.x2go.org/releases/binary-win32/x2goclient/releases/4.0.2.0/x2goc...
and it behaves in the same way.
I'm sorry that I didn't catch this in time: it looks like I didn't
update X2Go client
since summer 2013.