It seems that right-clicking on e.g. one of the system tray icons or one of the window entries in the taskbar (is this the correct word?), the "Panel submenu is not shown. I suggest having the "Panel" submenu available on the right click menu absolutely anywhere on the panel. According to Debian, I'm using xfce4-panel 4.8.3, which is not available as a Version number in this bugzilla.
For the windows buttons, you can access the panel menu when holding ctrl pressed and then right-click. Alterting the window menu is possible (provided by Gnome's libwnck), but not very wise imho, since this menu is accessed often for non-panel editing, so too much clutter. For the tray icons this is not possible; tray icons are external windows and the panel does not receive click events from those remote windows. I know the systray properties are hard to access, but that was also one of the reasons to add the items editor in the panel preferences. So nothing to improve here, appart from documenting the ctrl+click trick, but we are still working on a proper panel manual.