I have this bug both on XFCE 4.4 and 4.6. To reproduce follow these steps:

0. Make sure Thunar is not launched.
1. Select a file on a desktop.
2. Cut it either with "cut" command or with "ctrl+x"
3. Open Thunar.
4. Try to paste file. It will not work until you repeat steps 1-2 without closing Thunar.

Also it's impossible to paste files back to desktop from Thunar.