a) My setup has "focus on mouse click" set (as opposed to focus on mouse location).

b) Under the xfconf editor / general section, there is the option called
"raise with any button"
It is also graphically displayed by "xfwm4-tweaks-settings", under the accessibility tab, as "Put windows in foreground on mouse clic" (approx translation from french)

By default, this setting is active. (Checked)

c) If one window is in focus, and the mouse is moved to a second window and scrolled in the second window using the scroll wheel,
with the option in (b) set,
the focus changes to the second window, contrary to what is expected with the setting of the option in (a).

If however, the option in (b) is unset, focus does not change in the second window, as is expected with the "click-to-focus" option set in (a).

Note that if the option in (a) is unset, the focus always follows the mouse, so the option in (b) has no effect. 

d) This implies two corrections :
 1) The description for the option in (b) should be
"Change focus with the movement of the mouse wheel",
 and
 2) The option should be unset by default, to coincide with the previous behavior of xfce, and most other desktops.  (At least gnome, mate)