There is a missing line in the gdm/Makefile.in and Makefile.am in the install gdm section (and uninstall-gdm) $(mkinstalldirs) $(DESTDIR)$(datadir)/xsessions/ Otherwise here (with gentoo) it bails, complaining the xsession directory doesn't exist and it has nowhere to put the xfce.desktop file.
fixed in head and 4.0