The output of your last test:

paai@paai:/Data/paai/Documents$ echo "link=modem,accept=127.0.0.1">snx-options
paai@paai:/Data/paai/Documents$ nxagent -display nx/nx,options=./snx-options:8 :8
Warning: Option file doesn't contain a port specification.

NXAGENT - Version 3.4.0

Copyright (C) 2001, 2010 NoMachine.
See http://www.nomachine.com/ for more information.

Info: Agent running with pid '2546'.
Session: Starting session at 'Thu Nov 25 08:12:06 2010'.
Error: Aborting session with 'Unable to open display 'nx/nx,options=./snx-options:8''.
Session: Aborting session at 'Thu Nov 25 08:12:06 2010'.
Session: Session aborted at 'Thu Nov 25 08:12:06 2010'.
paai@paai:/Data/paai/Documents$