The summary says it all I guess. Gaim sets urgent hint to a window, the window borders/titlebar do start blinking as normal but taskbar button remains unactive as it is.
Could be simply a color issue, did you try with another GTK theme (depending on the theme, blinking can be hard to see) Also, blinking doesn't show when tasks are grouped.
Reproductible.
I manually edited a theme to make blinking more visible (I'm sure theme is fine) and the window's arent grouped either.
This bug has just been fixed in CVS. You can grab a copy of current CVS from here: http://www.xfce.org/~olivier/packages/libxfcegui4-4.1.99.3.tar.gz