My multimedia keyboard's volume keys work upon Xubuntu installation. I guess X can detect them and automagically configured so. Unlike GNOME, volume increases only 1% when I click the volume-up key. It takes a lot of key presses to tune the volume to something that my ear can differentiate. I expect it to change 5% to 10% upon each key press.
I don't see how this concerns xfce4-mixer. I don't handle multimedia keys. Maybe check xfwm4 keyboard settings.