I will try to explain the situation. I use xlock to lock the screen, it is configured to show black screen. I use Thunderbird, and I configured its mail notification to stay on for about 6 hours. When mail comes, notification appears - there is no any problem. When I lock the screen, when mail comes notification appears, but when I unlock the screen, notification become transparent- it stays on top of all programs windows, but it transparent and I see background screen picture. I am not sure that it is xfwm4 bug, but I have not found anything better. So, correct it if necessary. Thanks.
The same issue for the Skype is described here: https://bugzilla.xfce.org/show_bug.cgi?id=8092 No progress so far.
I decided do not use any more thunderbirg notifications. Then you receive many emails those notifications become annoying. I use firetray to see only amount of the new/unread mail. I will close this bug. Thanks