strange stuff...whenever the desktop session start, automatically opens Nautilis, but i do't see it in the startup task
it's not in startup apps it usually runs in the session. And the Session tab in Xfce doesn't list every thing it runs.

It can also run as a system service (rarely).
But regardless
if you terminate nautilus in task manager can you then delete icons?
They may be regular bookmarks (they can be normal desktop bookmarks/launchers and system ones also (I believe Xubuntu were geeting that (double icons) in earlier 12.10 builds somehow). Try right clicking on Icons and see If delete listed . If so resave session and reboot maybe.
J.Jay