The minimal screen configuration dialog (launchable via 'xfce4-display-settings -m '), which also pops up whenever you connect a new display, can not be closed by a enter or return keypress. This is very anoying, you have to use the mouse to close it although it looks like a dialog.
I'd say this bug doesn't exist in this form anymore with the revamped minimal dialog. You can close it with the mnemonic Alt+c now, which seems fairly standard for a dialog.