WSL2 uses HyperV mechanism, thus they must be installed and activated. Example via PowerShell:
Enable-WindowsOptionalFeature -Online -FeatureName Microsoft-Windows-Subsystem-Linux Enable-WindowsOptionalFeature -Online -FeatureName VirtualMachinePlatform
List installed WSL distributions, convert one of them to WSL2, and (optionally) set all future distributions to be installed as WSL2:
wsl --list --verbose wsl --set-version Ubuntu-18.04 2 wsl --set-default version 2
WSL2 systems are connected (as a result of HyperV) to a separate network. Thus the Xserver tries to use access controls by default. A workaround is, to disable access control completely when starting VcXsrv. The display variable needs to be set to the Windows Host IP e.g. in ~/.bashrc:
if [ -z "$DISPLAY" ]; then export DISPLAY=192.168.208.1:0.0 fi
The Windows Host IP can also be extracted from /etc/resolv.conf.