For example, I remap my caps lock to control: xmodmap -e 'remove lock = Caps_Lock' xmodmap -e 'add control = Caps_Lock' Then goto xfce's "Keyboard" settings, "Application Shortcuts" tab, try to add a shortcut to an app that maps to, for example, "Ctrl-Alt-m". I remember I've seen this bug in xfce 4.2, and it was fixed at some point.
As all i needed was to map the caps lock as a control key, I've discovered instead of using xmodmap, I could also do "setxkbmap -option ctrl:nocaps". And that worked around the problem. However, I have just discovered another issue with keyboard shortcuts. When I map a key like ctrl-shift-1, it turns into ctrl-shift-exclam. It used to still work with Xfce 4.4, but not anymore with 4.6. I have just tried with 4.6.1 too and it has the same issue.
Should be fixed in gist master branch for the ctrl + alt + 1 thing. setxkbmap is indeed the way to go to customize your layout.