Any theme downloaded from http://www.themes.org and unpacked into /usr/local/share/xfwm4 fails to show up in the window manager dialog box
putting files from a new theme into the directory for an already existing theme works but new directories do not seem to show up
At least in the CVS version this works fine. I think this bug is probably either WORKSFORME or WONTFIX, since it's for 4.0.x.
From the look at a sampling of the themes on themes.org, it looksl like most (if not all) of them are for xfce3, and won't work with xfce4.
The installtion location has changed with xfwm4 4.1/4.2 maybe that's the problem.