I originally filed this as a bug with Debian because the Debian installer includes Pulseaudio with the Xfce desktop and they should work together out-of-the-box. However, the folks at Debian said this is not our problem, it's an Xfce issue: 

see bug report https://bugs.debian.org/cgi-bin/bugreport.cgi?bug=798403

I did sort of come up with a workaround (see above bug report), but it works poorly and it removes on screen volume notifications.

What puzzles me is that all versions of Wheeze + Xfce + Pulseaudio Control Volume control worked just fine out of the box.

So whats the issue with Jessie?