Actually thats not shading it's probally changing the (virtual desktop)
Does window bar also disapear?
That setting can be disabled from the 'Window Manager Tweaks' usually 1st option under workspaces tab.or
chang to only use one(1) workspace. Can change number(#) of virtual workspaces from Setting-Workspaces (tho handy to multi-task if know how to use
P.S. are you sure running XFWM (XFCE Window manager) thats also (as actual Shade/roll) feature of Metacity (Gnome)
Check in session that Metacity and/or nautilus not running, only XFCE stuff (XFWM)