In the first paragraph of the "Theming" section there is a tiny error in the description where to put gtkrc files for local themes. It says: "[...] You will want to put your gtkrc file in $HOME/.themes/THEMENAME/xfce4-notify-4.0 and then start up the configuration dialog to set the theme. [...]" It should say: "[...] You will want to put your gtkrc file in $HOME/.themes/THEMENAME/xfce-notify-4.0 and then start up the configuration dialog to set the theme. [...]" Take note of the erroneous "4" in "xfce4-notify-4.0".
Fixed, thanks for the bug report.