When GSX says "Exit 2", it's usually an indication the configuration file is wrong or missing, since this is the default naming.
The 737 NGXu is internally supported by GSX, so you don't need *any* configuration for it. However, if you made (or downloaded ) a configuration file, which is not made correctly, it would prevent the internal GSX configuration, since user made configs have the priority over the internal GSX configuration.
This might happen if you tried to do a configuration yourself, which might not be the easiest thing to do on a PMDG, since they use lots of custom variables for door. Our configuration is perfect, of course.
o check this, go into the Airplane configuration page in GSX, and read where GSX is taking its data from. On a supported airplane like the GSX, it should read "Internal Data". If it's pointing to a file in your %APPDATA%\Folder, it means you made a custom configuration for it, which is likely wrong.
In this case, pressing the "RESET" button there, will discard any customizations you made, and return to the default internal configuration.
All of this, of course, assumes you installed the latest updates in GSX, using the FSDT Live Updater, because support for the 737 NGXu came on November 10th, a couple of days after the airplane was released.