The likeliest explanation is that you didn’t have “send system keys” in the X2GO client. This is sometimes referred to as “keyboard grab” and it’s what allows you to, for example, Alt-Tab inside the ThinLinc session when in full screen.
Disabling “send system keys” in the ThinLinc Client options is yet another workaround for this. The bug in XFCE’s screensaver only applies to applications that take ownership of the keyboard (grab the keyboard).
Unfortunately, the same bug applies to “xscreensaver” and “light-locker” too.