Resuming the session appears to restore all windows, including the git gui window.
I can confirm this issue occurs on Windows 10 x64 client with x2goclient v126.96.36.199 and Ubuntu MATE 14.04 LTS x64 x2goserver host.
I'm currently testing it in "published applications" mode, in which I started a MATE terminal and then ran 'git gui' from the terminal window.
VcXsrv crashes with a "VcXsrv windows xserver (X2Go/Arctica Builds) has stopped working" dialog in Windows. All published application windows then close, while x2goclient continues to run.