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.