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Very strange. Here's some relevant bits from .xsession-errors. The OS is Debian Unstable.
(xfce4-session:702): xfce4-session-WARNING **: 10:49:20.079: gpg-agent returned no PID in the variables
(xfce4-session:702): xfce4-session-WARNING **: 10:49:20.082: xfsm_manager_load_session: Something wrong with /home/annadane/.cache/sessions/xfce4-session-debian:0, Does it exist? Permissions issue?
(xfwm4:713): GLib-CRITICAL **: 10:49:21.099: g_str_has_prefix: assertion 'prefix != NULL' failed
(xfwm4:713): xfwm4-WARNING **: 10:49:21.206: The property '/general/double_click_distance' of type int is not supported
(xfwm4:713): xfwm4-WARNING **: 10:49:22.596: Another compositing manager is running on screen 0
xfwm4: Fatal IO error 0 (Success) on X server :0.0.
xfce4-session: Fatal IO error 11 (Resource temporarily unavailable) on X server :0.
migrate: Fatal IO error 0 (Success) on X server :0.0.
xfsettingsd: Fatal IO error 11 (Resource temporarily unavailable) on X server :0.0.
Invalid MIT-MAGIC-COOKIE-1 keyInvalid MIT-MAGIC-COOKIE-1 key
(polkit-gnome-authentication-agent-1:733): dbind-WARNING **: 10:49:24.457: Could not open X display
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This is due to http://bugs.debian.org/900550, which already has a fix. Sorry, disregard.
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[ Generated in 0.008 seconds, 9 queries executed - Memory usage: 516.59 KiB (Peak: 517.88 KiB) ]