You can create a keyboard shortcut to toggle between new windows being focused or not:
#!/bin/bash
xfconf-query -c xfwm4 -p /general/focus_new -T
notify-send "Focus new window: $(xfconf-query -c xfwm4 -p /general/focus_new)"
Put this script somewhere in dom0 (like /home/user/myscript), make it executable (chmod u+x) and assign a shortcut to it under System settings → Keyboard → Application shortcuts.
For example this is useful, when you want to keep a password prompt focused and not accidentally switch to new window
