Using "4.12.1-5" on Debian GNU/Linux unstable ("Linux TONNE 4.11.9-towo.1-siduction-amd64 #1 SMP PREEMPT siduction 4.11-15 (2017-07-05) x86_64 GNU/Linux"). I can see that in ~/.cache/sessions files are stored but in the xfce4 settings I deactivated the checkbox for "saving session informations". It looks like that this option is ignored!? The side effect is that the startup of xfce4 is extreme long. On a quite new machine: The pre-X-boot takes <10sec, but the X-boot takes >30sec. A known workaround is to clear ~/.cache/sessions and change the access rights to "root:root 700". This works. xfce4 comes up in <4 sec. ;) You see there is definitly a difference.
Related to: https://bugzilla.xfce.org/show_bug.cgi?id=11072 (System does not honour my settings [NO saving session when exiting]) https://bugs.debian.org/cgi-bin/bugreport.cgi?bug=854977 (xfce4-session: unchecked "Automatically save session on logout" has no effect)
*** This bug has been marked as a duplicate of bug 11072 ***