Untrusted X11 forwarding setup failed

Whenever I

$ ssh -X user@server

from my FreeBSD machine, I get the following message (and am
successfully logged in):

Warning: untrusted X11 forwarding setup failed: xauth key data not generated
Warning: No xauth data; using fake authentication data for X11 forwarding.

When I log in to the same servers from my Ubuntu machines, I do NOT
get that message.

What's wrong here?
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