In tool Session and Startup -> Splash tab, select 'Balou' ; Display aimed to receive the correspond picture is identical to the one related to the None case. Selecting Balou' reveals nevertheless that picture does exist at some location as a picture is displayed at login on saved sessions.
This problem should be fixed in xfce4-session 4.13 (it works for me on 4.13.0)
The splash screens will be dropped for Xfce 4.14 (starting with xfce4-session 4.13.2) and are already gone from git master.