The desktop icons of mounted volumes (partitions, CDs etc) do not refresh their icon theme without interference.
You need to hover over those icons with your mouse pointer, which lets them refresh their icon theme.
This happens on both of my computers.

I use ArchLinux and didn't experience that issue on xfce 4.8.


Steps to reproduce:
1. EITHER log into a xfce session
   OR choose a new icon-theme
2. Take a look at your desktop icons. The icons of mounted volumes will probably not have refreshed.
3. Hover your mouse pointer over those icons. They will refresh and change their icon theme to the new/correct one.