I have noted the following issues so far when using an X2Go Session with Lubuntu 12.04 AMD64 (uses LXDE):
The selected theme is ignored. Only the default theme is used (Clearlooks in this case). When I try to use Openbox to change the them to the theme I want (Lubuntu-default) I get an error "an error occurred while saving the config file '/openbox/lubuntu-rc.xml'.
Certain applications do not appear in the LXDE application menu. Things like the Synaptic Package Manager for example.
It's like the user does not have proper access permissions when logged in via an X2Go session.
Any ideas?