During my own install, I couldn’t lock the screen (ctrl+alt+l) until I pulled up the xscreensaver settings, which would then run the daemon required to lock the screen. That was required on every reboot. I narrowed the problem to a missing entry in the list of startup applications (session and startup -> application autostart):
Screensaver (Launch screensaver and locker program)
So, what I did to solve the problem was simply add the same command to a different entry, something like “manual screenlocker.” One day (I’m assuming on an update to xfce4-session or xscreensaver,) the above entry finally appeared in the startup application list so I disabled the redundant manual entry. Never got to the bottom of it.
Btw, just a bit offtopic, while poking around in the xscreensaver docs, I discovered that that application’s author never intended to make a “true” screen locker application since it may disclose overlay notifications and popups (say from a new email in Thunderbird or something.) You can try it yourself in your own xfce install with mixed results (depending on which screensaver you have selected):
xflock4 && sleep 7 && notify-send "[potential information disclosure while the screen is locked]"