I've noticed this bug in all versions of XFCE4. There's a problem with file names which have more than one dot in them. Everything from the first dot is treated as a file extension. This is a wrong behaviour. For example if there's a file Track.01.mp3 extension is treated as 01.mp3 and therefore file associations don't work. IMHO, file extension is everything after the LAST dot in file name, not after the first one. This should be fixed ASAP, because I really like this WM :]
Using the current CVS HEAD version, click on file with button 2 to see what xffm thinks it is. Clicking on track.01.mp3 yields: /home/edscott/tmp/track.01.mp3 (audio/x-mp3: MPEG layer 3 audio) So all is good. Of course if you have something like file.tar.gz, type ".tar.gz" will take preference over ".gz". The 4.0 branch parsing routines are different (equal to xfce3 behaviour). With xffm 4.1 (CVS HEAD), the whole mime business has changed to FreeDesktop standard. Backporting to 4.0 is not an option (unless the 4.1 tree is committed to the 4.0 branch, which is a big no-no).