This regards the "Session Menu" panel plugin. Try setting the panel alpha value to e.g. 0. The background will still have the theme colour, instead of letting the desktop background image through.
That is because the plugin draws a window on it's own, not much we can do about that in the existing plugin. The plugin has been removed for 4.10 and integrated in xfce4-panel's actions plugin, which avoids this problem by using other widgets.