This does not happen when executed like this:
vcxsrv.exe -multiwindow #on windows putty with X forwarding to :0 #on windows firefox-esr # within putty on linux
So it is likely the bug is somewhere in the X2Go/NX-Libs components.
At The Gathering 2015, Nito mentioned something like a transparent "input layer" that goes in front of remote applications and catches keyboard and mouse events to pass them through to the server.
Maybe this layer is always the foremost layer and doesn't realize a local application window has moved between it and the remote application it is supposed to monitor?
-Stefan
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