There is currently a little bug in Xfce4 which prevents you to bind the key combinations involving SPACE and ESCAPE. For example you can’t bind <WINDOWS>-<SPACE>, but you can bind <WINDOWS>-C . This behaviour affects only the xfce-keyboard-settings GUI, which is annoying but leaves us with a workaround using the following command line :
$ xfconf-query -c xfce4-keyboard-shortcuts -np "/commands/custom/space" -t string -s "gmrun"
This example binds <WINDOWS>-<SPACE> to gmrun (which, by the way, is a great lightweight alternative to Launchy for Linux).
This bug is already filed in the bugtrack of Xfce, let’s hope it will soon be fixed :-).