How to reproduce: Get notifications to show up early after login. They should appear on the grey screen with the loading mouse. When clicking on them to dismiss them before the desktop is fully loaded (on the grey screen) drills a hole in the grey surface where the desktop background is visible. I'm using the package groups xfce4 and xfce4-goodies from the Extra and Community repositories on Arch Linux.
I think the grey overlay is created by the compositor. Does deactivating it give you a different result? Xfce Settings > Window Manager Tweaks > Compositor
It is not clear if this is a bug in xfdesktop or xfwm4, or a bug at all. Closing this report for now.