The manpage of xfce4-session-logout states:
  The  xfce4-session-logout command allows you to programmatically logout
  from your Xfce session. It requests the session manager to display  the
  logout  confirmation  screen,  or,  if  given  one  of the command-line
  options below, causes the session manager to take the requested  action
  immediately.
However, running xfce4-session-logout without an option will logout without asking for any confirmation if "Prompt on Logout" is disabled in the settings.

A command shouldn't cause xfce to exit if this isn't the documented behaviour.

The behaviour I expect is as documented, that xfce4-session-logout shows the dialog if no option is set.
Showing the dialog is better because an unconfirmed logout might cause data loss. In a situation where xfce4-session-logout is assigned to a keybind or launcher, the user might not expect this behaviour after changing the "Prompt on Logout" option considering that the logout dialog has other options as well. A user intending to hybernate might lose data when attempting to run the dialog.