It seems to me that only one window have the frame so i suggest changing: _Draw frame around selected windows while cycling To: _Draw frame around selected window while cycling
Olivier Fourdan referenced this bugreport in commit 307f511473d0d0d8a492eef2f2f69276075e7619 settings-dialog: String change https://git.xfce.org/xfce/xfwm4/commit?id=307f511473d0d0d8a492eef2f2f69276075e7619