I’ve now got KDE, Gnome, MATE, LXDE, XFCE. IceWM, and OpenBox working on Ubuntu under X2Go.
There are some caveats you should be aware of, not show stoppers, mere minor annoyances. First the logout on KDE and LXDE are both painfully slow and on KDE it will start and stop the desktop about three times before finally logging out.
With Gnome, there is no default logout applet. In order to logout you first need to add the logout applet to your top panel. To do this, hover your mouse cursor over the top panel, then simultaneously hold down the Windows button+ALT and right click over the panel. You will get a short drop down menu, select Add to Panel at top.
Then scroll down to find the logout applet, it will be a little green guy walking in a box. Select that and hit the “Add” button. The applet will now appear on your panel. You only need to do this on your first session, it will remain there after. When you want to logout, click on this guy. As with KDE and LXDE it’s a bit slow so be patient.
Openbox will show as just a black screen. Right click on your mouse and you will get a drop down menu to add things.