Gaim windows use the URGENT hint (I think ;) to notify when a new message has arrived. If the window isn't focused then the titlebar flashes, but can't be seen if you're on another desktop.
Well, what else could we do about this? Personally I don't think this is a bug in Xfce. Assigning it to Olivier.
The taskbar does, all you have to do is show tasks from all desktops.