If an application does not set it's own icon, theoretically xfce should use the icon that was configured for that particular application (i.e. what gets configured in the panel for example). A good example of this is rxvt-unicode.
The WM already looks for the following icon standards within the application:
- Regular XBM icon (monochrome bitmap)
- Regular XPM icon (color pixmap)
- KDE Icon
- EWMH Icon
The WM will not parse the desktop files to get a fallback icon, that would simply be not practically and slow down the startup of the applications dramatically.
Niether rxvt not urxvt provide an icon, why would you want to overload the Window manager for that instead of simply fixing the application in the first place? Better fix the applications... In the end you'll get better results, whatever WM you run.