I have the same problem.

Windows 10 Pro x64
German System Language
Latest X2go-Client V. (Qt - 4.8.6)

Error message in Debug Mode:
Failed to start user mode OpenSSH server.

When I try to share a folder after connecting to a host, I get this message in the debug console:
ssh-keygen succeeded.
QFSFileEngine::open: No file name specified

And a popup windows with something like this (translated from german):
SSH-Deamon couldn't open his public key.
You have activated Printer and Folder sharing.
For this feature, a proper SSH-server must be running.
Printer and Folder sharing are going to be disabled
The SSH-server is not properly configured.
Be sure the public key exists.
Normaly this message shouldn't popup, because x2go uses his own internal ssh-server and creates all necessary keys itself.

Best regards,