1) Open Evince (not in fullscreen) with any document, test that up/down arrows work (window has focus).
2) Hit the "show desktop" shortcut: all windows are minimized. Hit it again: windows are restored, Evince in front. Test the up/down arrows: Evince still has the focus. That's good.
3) Put Evince in fullscreen.
4) Repeat 2). Evince is still in front, that's good. The up/down arrows, however, do not work: Evince lost the focus. The next window in the stack (alt-tab order) has it, but we don't know that because all we see is still Evince. That's bad. (Isn't it?)
Tested with Evince, Firefox, Parole, XFCE's terminal (which, now that I think about it, can be an easier way to see if it has the focus or not... d'oh!) and Calibre's ebook viewer, so probably anything that can make itself fullscreen.
Actually, funny thing: put _two_ windows in fullscreen, say Evince and Parole. Use alt-tab to select Parole, then Evince. Evince is now facing you. Hit the Show Desktop shortcut twice: now you've seeing Parole, with focus.
I don't know how to judge the severity of this. That one probably isn't common; I only encountered it because I'm on a netbook (9", thus many full-screened windows), navigate mainly by alt-tab, and use the super key to toggle the desktop (panels, time, indicators, etc). It's basically just an annoyance, because it adds a few alt-tab tries to find your window _and_ your focus again. But it can also be tricky: the mouse wheel can make a full-screened window scroll, so you don't always realize that your window does not, in fact, have the focus, and that any keystroke (space, backspace, CTRL-F...) are actually sent to whatever else under has focus: a terminal, a word processor... Most of the time I only have a fullscreen Firefox and a terminal. Most of the time, when I alt-tab to the terminal, there's a long line of spaces due to my trying to advance my current Firefox page. Funny... as long as there's nothing running in the terminal, of course.
Also happens when the fullscreen window is the only one open. I suppose the focus is then on the desktop itself, though I don't know of a way to test that.
Should be fixed in git, both branches.
Note that master (xfce-4.10) should still work better than current xfce-4.8 in this regard.