I have xfce 4.6.2 in zenwalk, and the icon of places in the menu disapears when I click the icon and thunar doesn't opens. I have tried to add the plugin again, and it apears in the panel, but when I go to clic ir disapears again.
It sounds like the plugin is crashing when it tries to refresh its data. There are two things you could do to help narrow this down: 1) The easy one: middle-clicking on the button opens Thunar without opening the menu. Does that work for you or does it also make the plugin crash? 2) The more involved one: Follow these instructions http://wiki.xfce.org/howto/panel_plugin_debug and get a backtrace of a crash from gdb.
I have tried now to clic in the icon of places and it fuctions correctly and don't crash like the last day :s