I did a bunch of testing. Note that most of the earlier test results were not valid because i was probably not in the "fuse" group: https://docs.google.com/spreadsheet/ccc?key=0AmL_OrCln9ShdHcxbTQ3amJZdlp1b3pkcWpveWtwSlE&usp=sharing
Conclusions:
This bug is present in X2Go Client 4.0.1.2 and later, including the nightly 4.0.2.0 builds.
This bug affects Windows XP 32-bit SP3, but it does not affect Windows 7 32-bit SP1 nor does it affect Windows 8.1 64-bit ("Update 1" was not installed.) It is safe to assume that only XP, server 2003, and server 2003 R2 are affected
This bug is not present in 4.0.0.3. (there was a gap in X2Go Client Windows builds between 4.0.0.3 and 4.0.1.2.)
Across all 3 aforementioned Windows Client OSs with X2Go Client 4.0.0.3, sshd.exe does start. However, folder sharing does not work; the share never shows up when you run "df" and it is not present in the usual path under /tmp/ . (I did not test printer sharing, but I did test all 3 OSs.) That is probably another bug, but it was obviously fixed. I will not be writing it up.