Sounds like something with the login manager. Check the part of the xfce control center thing that deals with the login manager. I seem to remember a setting somewhere about the default action to perform when the quit/lock/logout button is clicked.
I don't believe I've ever seen anything in XFce that deals with the login manager. Perhaps in VASMCC? I can't check right now. The "action to perform" when the logout button is selected is available by right-clicking on the icon for Quit, Properties, but the choices are only Quit, Lock, and Quit + Lock Screen.
I don't know what the solution might be.