Could you try to use the client from the console and list the output? Maybe we can get somewhere with the printouts...?!
I tried running the client from /Applications/Utilities/x2goclient.app/Contents/MacOS and get the following:
start new ssh connection to server: "internal.ip.address" : "22" krb: false
"Can not connect to internal.ip.address:22" - "Timeout connecting to localhost"
Listening via Wireshark shows a flurry of activity as my computer opens an SSHv2 connection to the proxy that I configured as external.ip.address.
I'm not seeing a command-line switch for verbose output.
—Andreas