The phenomenon leads from overwhelming special effects of xfce. There are two solutions.
First of all, terminate the x2go session using x2go client's button terminate, instead of just closing the x2go windows!!!
Log in the server through ssh. Then open file ~/.config/xfce4/xfconf/xfce-perchannel-xml/xfwm4.xml, find the line including use_compositing and change the value from true to false.
vi ~/.config/xfce4/xfconf/xfce-perchannel-xml/xfwm4.xml
One can shutdown it by clicking Application (at the top left corner of the x2go windows) → Settings → Settings Manager → Window Manager Tweaks → Compositor. Then uncheck the option Enable display compositing (this is the master switch of all options, so the other buttions won't matter).
Similarly, terminate the x2go session using x2go client's button terminate, instead of simply closing the x2go windows!!! This is a must to make the change applied.