I changed the default Alt+F11 short key for "full screen" to Super_L+F. After that, the new short key works but If I open again the "window manager" settings dialog, it goes on showing Alt+F11 as short key for "full screen"
More information : this is with xfwm4 4.8.1 and xfce4-settings 4.8.1 on a Mageia 1 system
tested on debian testing with xfce4-settings 4.8.2, no problem any more, looks like it is solved !