Ah re-reading I now understand what you were asking. Sorry for the mix-up 🙂 There is no x server running at all on the system you are connecting from, so you are not running XWayland. If this is the case, you are right, the message is not very clear and we decided to change it to something like this:
The NoMachine Player cannot connect to X server
This can be because no X server is running or you didn’t set the DISPLAY environment.
Or it can be because you are running this desktop on Wayland.
The NoMachine Player doesn’t support the Wayland environment without X.
Be sure you run XWayland instead.
We’re working on supporting Wayland, natively without XWayland, but it’s not a priority at the moment, so don’t expect this very soon.