TurboVNC is the X proxy this project produces and recommends. It is a high-speed fork of TightVNC targeted specifically at the needs of 3D applications. The 2.1.2 release candidate is here:
https://turbovnc.org/News/20170916
x2go is based on NX 3, which in my experience is not going to perform as well as TurboVNC (I know that because I tried very hard back in the day to make it do so.) However-- this may not make a difference, but you probably shouldn't run the window manager using vglrun. Reserve vglrun only for applications that need it. XFCE is a 2D window manager, so you should be able to run it without VirtualGL and then use vglrun within the WM to launch OpenGL applications. Other than that, I don't have a lot of familiarity with how to configure various encoding settings in x2go.