I have a system running both the Xfce and MATE GUIs. Synaptic won't run from
the Xfce menu but it will from MATE.
In Xfce, if I go into Settings->Session and Startup, then click on the
"Application Autostart" tab, I see an entry:
PolicyKit Authentication Agent (PolicyKit Authentication Agent for the MATE
Desktop)
If I tick this to enable it in Xfce, then log out and back in again, I can run
Synaptic from Xfce's menus.
I have no clue if this is present in a pure Xfce installation however.
However the issue seems to be quite clearly that by default Xfce is not running
the required Authentication Agent.