I prefer it as a nickname but I'd spell it Margot as I've only ever seen that as the correct (anglicised) spelling (obviously there are francophone spellings as shown in earlier comments but I'm not French and I don't live in a French speaking country so I wouldn't, personally, use them.
Margo just looks like a typo or someone who didn't know how it was spelt and had only heard it to me. Not that I'd ever seen it before this post at all.
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