So that this helps someone.

The reply is correct that it has to do with credentials when running the package via DTExec.exe. GNU cannot run under SQL agent untill the following was done. All I had to do was to add the pubring and secring files used to decrypt the files in C:\Documents and Settings\SQLSERVICE\Application Data\gnupg folder. "SQLSERVICE" could be different on your system. Then the Job runs, otherwise I would get the process ended with exit code 2 when 0 was expected.

Hope this helps someone