I have this problem as well, i.e., I am unable to change anything in Preferences –> Connections –> Connection Preferences that requires administrator privileges. On the “Authorization required” screen, I type in a password for my administrator account, and I get a spinning wheel for a few seconds, and then it returns to the “Authorization required” screen as if nothing happened. (I’m adding these terms to make it easier for others to google this problem.) (Curiously, I can then type in sudo commands in a terminal window without it prompting for a password, so it did in fact successfully authenticate with sudo.) I am running Mac OS X 10.10.5 and NoMachine 4.6.16. According to the 3rd post above, this problem should be fixed in version 5:
https://www.nomachine.com/TR07M05813