Dear all!
To reproduce,

open denmark.gdt
series un = randgen(u,0,1)
coint2 2 LRM LRY IBO IDE ;null; un --seasonals --rc

works OK.

When I try do to this via GUI with LRM LRY IBO IDE in "Variables to test"; un R in "Exogenous variables"
lag order 2; checked "Include seasonal dummies"; and "Restricted constant" I get "Syntax error"

Looks as if the GUI calls 

coint2 2 LRM LRY IBO IDE ;; un --seasonals --rc

I use 1.10 on debian (outdated by a month or so)