It's maybe because of my level of english (you all know french are very proud ;D ) but I don't really understand what is the xfwm4.
Is it just a folder in which we could put some theme, or is it a package which permit to manage themes?
xfwm from xfce window manager is the program that it draws windows on screen. It shows windows borders, title bar and action buttons like close button, hide button, etc.
You can customize window look with xfwm themes. This themes are stored at the folder /usr/share/themes or at /home<username>/.themes, the same allocation for gtk themes.
The folder only contains README files and so on. Managing themes: Settings -> Settings manager -> Window Manager
PD: Yes, my english sucks, it's my third language and still learning.