In Thunar, the popup menu that comes up with right mouse click shows the options "Move to Trash" and "Delete". Consistently, the first option moves the item to trash, while the second permanently deletes the item. However, the popup menu for desktop items shows only the option "Delete". The action for "Delete" in the desktop is to move the item to the trash. I believe there are two possible solutions: 1. adding the entry "Move to Trash" to the desktop menu. The behaviors of "Move to Trash" and "Delete" in the desktop would be the same as their Thunar counterparts; 2. renaming the desktop menu entry from "Delete" to "Move to Trash". The desktop menu would only have the "Move to Trash" entry. It seems to me that #2 is better, as changing the behavior of the desktop's "Delete" entry from "move to trash" to "permanently deleting" might cause users to lose files.
Option 1 has already been implemented in xfdesktop with: http://git.xfce.org/xfce/xfdesktop/commit/?id=6b8e12f8eaa5832918a088fc2a59184ce3fa974f It will be available in the 4.12 release.