I tested the X2Go client from a Ubuntu 15.04 work station to other
servers, sound works fine on the client, it is on the server side that it's broken, and I think that's because of my kernel. During the update I saw some modules that were sound related fail to load. I have a 4.0.0 kernel where the Ubuntu ships with 3.19.0. I'll undo that in a bit and see if it fixes sound on the server, but X2Go client is working fine, sound included, on Ubuntu 15.04.
It's actually a client problem, I think.
If 15.05 ships libpulse-6 and you're using the release build of X2Go Client, that's broken.
As a workaround, please try the nightly builds.
Mihai