When option 'Import the private key to the connection file' is selected in the client UI, user cannot login by means of private key. Logs for NX protocol report:

672622 672691 21:42:27 187,539 Encryptor/Encryptable: ERROR! Failed to read private key.
Error: Failed to read private key.
672622 672691 21:42:27 187,631 Encryptor/Encryptable: ERROR! SSL error is 151584876, 'error:0909006C:PEM routines:get_name:no start line'.
672622 672691 21:42:27 187,659 DaemonLogin/DaemonLogin: ERROR! Cannot get certificate.

As a temporary workaround, do not check option 'Import the private key to the connection file' in the UI.
Selecting such option is necessary only if you need to move the connection file to a different place and you need to carry on also the private key.