I've installed XFCE and LXDE on quite a few computers. XFCE does NOT have hardly any keyboard shortcuts installed (by default), but they are very easy to set up. I've done it on every XFCE installation I've done ... whether it's from the Phoenix installation Live CD, or from task-xfce.
I'm going to attempt to do this from memory, since I'm typing my reply from the 2010 Beta 2.
In the XFCE Settings Manager, open Window Manager.
Click on the "Keyboard" tab.
Double click the task you want to add a keyboard shortcut for (e.g., Close Window).
Press the keystroke combination you want to assign to that task (e.g., Alt + F4, together, for Close Window).
I hope this helps! It's never failed me.