Did you add the private key in the player as well? The last section of this article
https://kb.nomachine.com/AR02L00785
1. Launch the NoMachine User Interface from Programs menu or Applications and right click on a connection. Choose ‘Edit connection’ to access connection settings.
2. Be sure that NX is the selected protocol in the drop-down menu.
3. Go to Configuration panel and choose ‘Use key-based authentication with a key you provide’ and click on Modify.
4. Select the private key and check ‘Import the private key to connection file’ if you want to save it for that session.
5. Back to the previous panel and click on Connect
The client will prompt you for username and passphrase.