OK I found it …
Comment out the last line of /usr/bin/gufw and add a new one, so it looks like this on the last 2 lines:
#pkexec gufw-pkexec $c_user
pkexec env DISPLAY=$DISPLAY XAUTHORITY=$XAUTHORITY gufw-pkexec $c_user
And all is good.
There is still the bug referenced FS#66556 : [gufw] Gufw won't start
It is an error with /usr/bin/gufw-pkexec file under certain languages. The following is a quick fix.
This time its the first line of the script we want to comment out and replace. The top 3 lines would become:
#!/bin/bash
#LOCATIONS=`ls -ld /usr/lib/python*/site-packages/gufw/gufw.py | awk '{print $9}'` # from source
LOCATIONS=`echo /usr/lib/python*/site-packages/gufw/gufw.py` # from cscs