Make sure that xfce4-session and upower are installed, and that the affected user is in the "power" group. If this doesn't help, here comes the scary part:
System shutdowns must always be issued from a root context. Different desktop environments use different approaches to achieve this. Mostly the shutdown is requested via a dbus call from the login manager, which in turn runs as root.
XFCE however, in an approach to make things less bloated and employ simpler technologies, uses its own helper programs. (Hey, I think that's cool!)
The shutdown helper should be contained in the package xfce4-session.
If this package isn't installed in your system, there could be the solution to your problem already.
Furthermore your user should be able to run the shutdown helper with root permissions. The xfce wiki has a paragraph on this:
Different distributions prefer different solutions described in this wiki. I cannot check right now what applies to you, since I'm neither using XFCE nor Ubuntu. I would start by making sure your user belongs to the "power" group. You might need to install upower to set up this group and its infrastructure in the first place.
Apart from configuring sudo or polkit as described in the wiki, issuing "chmod +s /usr/bin/xfce4-shutdown-helper" is a less secure but more convenient way to make sure the helper runs as root.
Well or has xfce4-shutdown helper become xfsm-shutdonw-helper? And is it placed in /usr/bin or /usr/sbin or /usr/lib/xfce4/ ..? I've lost track, it differs from distro to distro and from version to version. But maybe you don't need to get this deep into it.
Hope I could help ;-)