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.)