Dialog windows such as "Appearance" and "Window Manager Tweaks" used to appear on panel's window buttons plugin and xfwm4's tabwin, but this changed recently.
Running git bisect, this started after this commit:
The windows will appear on tabwin after disabling "Skip windows that have "skip pager"or "skip taskbar" properties set'", but not on panel.
Olivier Fourdan referenced this bugreport in commit 1c2e8f54cd68db0ff870cb60beda26ed93431290
netwm: Do not skip standalone dialogs
The fix works, thanks a lot.