After playing a bit with git bisect, this is the offending commit: https://git.xfce.org/panel-plugins/xfce4-pulseaudio-plugin/commit/?id=f96e213b84af927e6b427322bb0e7b4ca907911a Apparently volume->sink_connected is FALSE when the plugin starts therefore the button icon is not updated. The patch proposed by Olivier Duchateau in Bug #13677 solves this glitch, although I'm not sure it has any side effects.
Duplicate of https://bugzilla.xfce.org/show_bug.cgi?id=14071
@Marcos, you're right, thanks. *** This bug has been marked as a duplicate of bug 14071 ***