TL;DR
Just take a look at the pictures below.
For cute sloths like myself, here goes a much longer explanation.
It's 2021 now and I've just encountered this very same issue.
I've tried all the variants suggested here in all the answers and comments posted here before mine and nothing helped me (including editing the XML config file and restarting X and PC after that). But I've noticed one thing in the user12458's answer. It's called xfconf. So I went to https://docs.xfce.org/ (which is hard not to notice on Google's search result page) and I saw these three things there:
- Configuration Storage System (xfconf) – D-Bus-based configuration storage system
- Settings Manager (xfce4-settings) – The Settings daemon which persists many Xfce settings
- Settings Editor – Editor that allows to modify all the various setting channels (xfce4-settings-editor)
You can open Settings Editor by typing xfce4-settings-editor in a terminal or as simple as it's shown on the picture below (it's the last one on the list):

To add Super-D shortcut for the Xfce window manager, you need to choose xfce4-keyboard-shortcut channel in the left pane, then scroll down the right pane till you see the xfwm4 property and the custom property below it. Left-click on any item below custom and then click New button in the bottom part of the Settings Editor window. Take a look at another picture here:

In the Property box append <Super>d
to the string /xfwm4/custom/
that will be already there. Choose String
for the Type
box and write (or copy-paste from here) show_desktop_key
to the Value
box. Press Save button. The property editing dialog box should disappear now and your shortcut should be activated immediately after.