The Path key in a .desktop file is supposed to set the working directory in which a launched application will run.  Xfce does not appear to honor that key, regardless of whether the .desktop file is launched from the menu or from a double-click in Thunar.

http://standards.freedesktop.org/desktop-entry-spec/latest/ar01s05.html

This bug was confirmed today by cwickert in irc channel #xfce.