My xim compose keys do not work in Thunar, for example in the location bar or with the Create Folder / Document name field. Pressing <compose> <char> results directly in <char>, without waiting for a second key. This is limited to Thunar + xim alone; with Terminal, Mousepad, Xfce Panel etc. everything works fine, and the default gtk "simple" method is OK too.
This has changed a bit inside Thunar but also in GTK. Please reopen if this is still an issue with the latest release.