When the drop-down terminal is running with "Keep window open when it loses focus", there are two small problems: 1) If I access the dropdown terminal by pressing a hotkey, then I press Alt-Tab, I don't go to the last window I was on. I go to the 2nd-last window. I believe the problem is that XFCE4 doesn't know that I switched away from a window when the dropdown terminal is focussed. 2) When I toggle "Keep window open when it loses focus", the setting doesn't take effect until I quit and restart.
I can reproduce 1) even when "Keep window open when it loses focus" is not set. For 2), the option in Preferences will work for new windows only. For the current window, you can use a "down arrow" button in the bottom right corner of the window.
I don't think the terminal can do anything about 1).