I do not have the same environment as yours but, is there an chance the personal firewall or security software is blocking one of the connections? - John
I've had problems with Symantec Antivirus and older versions of X2Go Client for Windows. I would recommend uninstalling (not just disabling) any antivirus to check if that might be the cause of the problems. Also try using the latest version of the client, 3.99.1.x.
http://code.x2go.org/releases/binary-win32/x2goclient/
Cheers, Daniel