The missing icon in windows cycling is not an Xfce bug and is likely an upstream bug either with the app or with the icon theme, similar to xfce4-panel#434 (closed).
The issue with misbehaving applications like the one in the mentioned bug isn't related to xfce4. However according to me the xfce4 windows switcher and the panel plugin for displaying open windows both don't respect windows class (WM_CLASS) and doesn't set application icon accordingly. If StartupWMClass and Icon both specified in the .desktop file then I'd expect that the specified icon should be used, but it doesn't work. The same .desktop file works properly for Cinnamon's windows switcher for example.