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.