@PhoneBoy Thank you. I read in other posts that SNX client is not working with recent Ubuntu versions, nor with MFA. I don't know really is what is. From what I read on this site, it is something that the Endpoint admin has to setup, but unfortunatelly I doubt they will do it.
@G_W_Albrecht Thank you for your reply. It's R84.30 or newer. I tried to follow and adapt the tutorials of @Soeren_Rothe on this site (on Ubuntu desktops 22.04 and 21.10), but it didn't work for me because I didn't know how to adapt to the differences (Soeren is using pre-shared secret; our server seems to use a certificate).
In the Windows client, I just create a new connection (by entering the host name), confirm the server certificate fingerprint (because its root CA is self-signed) and then it's ready to use (I just enter username/password and confirm in Authenticator App).
By reading the Windows client extended logs, I saw that our config uses username+password authentication, but I didn't find info about the server certificate (I do have the root CA certificate).