Created attachment 5607 comparing two file browsers Although the option 'Activate element with one click' in xfce4-settings-manager / File manager settings / Behavior dialogue is set, still need to use double click in the 'Create launcher icon' dialogue's Command browsing subdialogue to open a directory. The attachement screenshot displays two dialogues: in the upper simple click is enough to open a directory while in tle lower double click is needed.
I agree this is inconsistent. The open-file dialog comes from Gtk+ itself though, so it's not under our control and this feature doesn't exist - at least in Gtk+2 You can read more about this in the upstream bugreport: https://bugzilla.gnome.org/show_bug.cgi?id=121113