I suggest to not steal the focus in any case, i.e. to circumvent the user preferences and window manager policies and placing the notifications always a little in the background, because wicd messages, mail check notifications etc. may appear any time when coding, writing instant messages or e-mails and hence grabbing lots of keyboard input that needs to be rewritten.
The notifications don't accept focus at all. Your WM must be broken.
I've got this problem too. It may indeed be caused by xfwm: it happens when "Activate focus stealing prevention" is on and "Honor standard ICCCM focus hint" is off (in "Window Manager Tweaks"). Changing any of these two options solves the problem (and I don't know what they do, to be honest. "Focus stealing prevention" just seemed like a good idea, but it now looks like it does the opposite... Clicking on "Help" just closes the window.) xfwm4 4.6.2 xfce4-notifyd 0.1.0
*** Bug 7479 has been marked as a duplicate of this bug. ***