This will be fixed in the 1st release of X2Go Client for Windows 4.0.4.0-x.
The bug appeared to be caused by the fact that for at least 1 of the SSH Processes, procUuid/uuidStr is null. Thus HKEY_CURRENT_USER\\Software\\SimonTatham\\PuTTY\\Sessions would be deleted (recursively) instead of only the uuidStr subkey being deleted.
I fixed it by simply adding a check to SshProcess::rmPuttyReg(). It now does nothing if uuidStr is empty or null. This is the safest solution IMHO.
-Mike