Sorry if this is the wrong place to report, but I didn't find directory menu plugin in the bugzilla xfce4 panel plugins list.
Thanks to forward it to the right place if necessary.

the problem is : 

if I choose nautilus as filemanager in xfce4 settings favorites applications dialog, directory menu does not work : whatever directory I choose to open through it, this is always my home directory that is opened in nautilus. 

Instead, if I choose pcmanfm or thunar as default filemanager, directory menu opens properly the selected directory.