XFce doesn't seem to support _NET_WM_STATE_DEMANDS_ATTENTION but in _NET_SUPPORTED it says it supports it...
Er... why is this my bug?
You seems to be confused by the different components. The _NET_SUPPORTED is set by the window manager which supports _NET_WM_STATE_DEMANDS_ATTENTION and set it when needed. The taskbar may not show it, but that's another problem. The taskbar is not supposed to change the _NET_SUPPORTED hint anyway. If you use the taskbar from GNOME for example with xfwm4, it will show the corresponding item blinking. So I change yo bug report to a feature request.
BTW the taskbar in 4.4 supports it so it's already there.
So it's good :)
For the record, Jasper added it in revison 21363, for bug #1287 Author: jasper Date: 2006-04-29 18:42:11 +0000 (Sat, 29 Apr 2006) New Revision: 21363 Modified: libxfcegui4/trunk/libxfcegui4/netk-private.h libxfcegui4/trunk/libxfcegui4/netk-tasklist.c libxfcegui4/trunk/libxfcegui4/netk-util.c libxfcegui4/trunk/libxfcegui4/netk-window.c libxfcegui4/trunk/libxfcegui4/netk-window.h libxfcegui4/trunk/libxfcegui4/netk-xutils.c libxfcegui4/trunk/libxfcegui4/xfce-icontheme.c Log: * Add support for _NET_WM_STATE_DEMANDS_ATTENTION. Mostly copied from libwnck. * Make tasklist do something with this hint (bug #1287). Also make label bold when a window demands attention. * Add spacing between label and icon (bug #1672). * Get rid of XfceIconTheme. * Add some missing prototypes to netk-window.h.