How to reproduce:
1) Open any program that can be closed by using the keyboard (e.g. xterm)
2) Hover your cursor over the program in the task list
3) While having the cursor over the program, exit the program by using the keyboard (ctrl+d, alt+f4, etc).
4) Move cursor away.

Result:
Task stays visible in the list and does not disappear. Only able to clear the task list by killing xfce4-panel and restarting it. Nothing happens if you click the "zombie" button.

Expected outcome:
Task disappears from the list once closed.

Notes:
I've had these settings through a couple of versions. Arch Linux x86_64. I have not tried with a clean configuration.