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, LM17 Mate 64-bit
Debian Mate 64-bit, Xubuntu 14.10 64-bit, Ubuntu-Mate 14.04 64-bit, Antergos Xfce 64-bit, PCLinuxOS Mate 64-bit