Try this. Open the Xfce menu, select Settings >> Keyboard >> Applications Shortcuts tab >> +Add button. In the resulting popup box, type: sudo shutdown now, which we know works, select the OK button, then when the next box opens, press the power button on your keyboard. This should put the keyboard scan code for your power button in your keyboard operations box and allow you to shutdown after entering your password.
LMDE Mate 64-bit, LM16 Mate 64-bit
Debian Xfce 64-bit, Xubuntu 13.10 64-bit, Xubuntu Trusty Tahr 64-bit, Antergos Xfce 64-bit, PCLinuxOS LXDE 64-bit