All X applications issue this warning, when executed under different user:

Warning: Tried to connect to session manager, Authentication Rejected, reason :
None of the authentication protocols specified are supported and host-based
authentication failed

Which results in bad exit status /although the application runs without
problems/, and gksudo issues this annoying error dialog:

Failed to run xclock as user root: Child terminated with 21 status

Reproducible: Always
Steps to Reproduce:
1. run terminal
2. gksudo xclock


Actual Results:  
Warning in the shell is not that bad, but other applications which depend on
exit status are broken then /like gksudo/.

Expected Results:  
I don't know what's wrong with xfce4-session, but there should be way to accept
these apps into session. There is no way how to configure its behaviour.

Happens only with gksudo /not with sudo, nor gksuexec/
User is put in wheel, and sudo configured not to ask about any passwords.