I tested the same scenario (Windows 10 client v4.0.5.0 and Ubuntu Server 14.04.03 LTS latest X2Go Server from ppa:x2go/stable) and have observed the following behaviour:

When I copy something via CTRL+C inside the X2Go session, I can paste it via CTRL+V on my Windows 10 machine.
However, when I copy something with CTRL+C on my Windows 10 machine, I cannot paste it via CTRL+V inside the X2Go session.
Same results when doing it via context menues.

Of course, I allowed bidirectional clipboard access on the Windows 10 client. So it only works from server to client while client to server clipboard fails.
I tested this with XFCE (xfce4) and with MATE (ubuntu-mate-core from ppa:ubuntu-mate-dev/ppa).