With ThinLinc in fullscreen mode, it is not possible to switch workspaces on the host OS using trackpad gestures. Looking at other full screen apps, for example Chrome, these gesture works just fine when the application is in full-screen mode. This was observed on macOS 15.3.
This is just a variation of bug 4975, so everything is working as intended. Without "Send system keys", switching virtual desktop works just fine. With it enabled, all input goes to the session.