When logging into xfce4 for the first time (no .xfce4 dir present), the icons in the panel are not all displayed. In the settings manager -> Xfce Panel no icon theme can be selected (CVS20040601). At next login things look normal.
I'm currently working on an icon themeing update. That should also get rid of this problem (I'll be using the general icon theme, that can be selected from the user interface dialog).
New icon themeing fixes this problem.