(Ha, bug 10000!) The compositor, when you come to think of it, is not very flexible at all. It doesn't let one make arbitrary windows transparent. Nope, only a narrow choice is allowed (which yes, is what one usually wants.) Right clicking on each window's edge or tab should include a transparency slider in its menu...
This sounds like a Compiz feature, In ny case, not something we'll likely do for Xfce. Plus the correct component would proably be xfwm4.