The installation of the X2Go client on Mac is a little bit more complex, in depth instructions can be found here.
Use this installer for X2Go (not the one from the documentation linked above). This download is auto linked to the lastest stable version.
Once you have installed the X11 server, you will need to go into /etc/ and edit the file: sshd_config. There is a line for X11 forwarding that will probably be set to no by default. If it is set to no, you will need to change it to "yes", save the file and restart x2go. That should resolve the issue of not being able to connect if all the other settings are correct as well.