Hi there,
as far as I understand your posting you cannot shut down a xfce-session by using the buttons. Instead you have to switch to the console - right?
If this is your problem the following steps should solve it:
You have to edit /etc/sudoers to give the according right. This is a special file that you have to edit (as root) with a special command:
# visudo
... now add the following line somewhere in the appropriate section (doesn't really matter where, as long as it's there):
%users ALL=NOPASSWD:/usr/libexec/xfsm-shutdown-helper (this is the path under OpenBSD, maybe it's a little different under FreeBSD)
Effect is immediate, you don't even need to restart anything. And your User has to be in the group "users".
One last hint: Before you try to edit /etc/sudoers by visudo, you have to get used to the text editor "vi" (if you haven't used it before).
Here you find a detailed description of this solution.