Had this same problem under Windows 10. Started x2goclient.debug --debug and it showed me that the permissions for the ssh_host_rsa_key are too open (0770).
Installed cygwin to check these permissions under windows and the user- and groupname where the same username. The rights where 700. Somehow the rights for the group where inherited from the user when they have the same owner/group-name.
Fixed it by changing the group for ssh_host_rsa_key from the username to 'Users' under cygwin.
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