I will try to explain the situation.
I use xlock to lock the screen, it is configured to show black screen.
I use Thunderbird, and I configured its mail notification to stay on for about 6 hours.
When mail comes, notification appears - there is no any problem.
When I lock the screen, when mail comes notification appears, but when I unlock the screen, notification become transparent- it stays on top of all programs windows, but it transparent and I see background screen picture.
I am not sure that it is xfwm4 bug, but I have not found anything better. So, correct it if necessary.
The same issue for the Skype is described here:
No progress so far.
I decided do not use any more thunderbirg notifications.
Then you receive many emails those notifications become annoying.
I use firetray to see only amount of the new/unread mail.
I will close this bug.