Hi,
Have the same issue on Linux Mint 17.2 and Centos 7 with xfce4-session. I accidentally seem to have 'fixed' this. While debugging some other startup issue, I wrote a wrapper script around xfce4-session ('my-xfce4-session') which looked like:
#!/bin/bash
xfce4-session > ~/logfile 2>&1
After this, logging out works normally. I had a look at ~/logfile, and xfce4-session spits out quite a bit of text during logout, which I guess confuses x2go. replacing "~/logfile" with "/dev/null" nicely solved it on my other machine as well.
Maarten