There is workaround for this problem (https://forums.nomachine.com/topic/connection-fails-on-headless-client#post-21783):
1. Create a backup of nx PAM configuration (sudo cp -a /etc/pam.d/nx /etc/pam.d/nx.original). Then change /etc/pam.d/nx in this way:
auth include system-login
account include system-login
password include system-login
session include system-login