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The installer has its own, light-weight package management (it installs package information into $prefix/etc/i2t-packages/xfce4/). The goal of this lightweight package management is to allow for tools to transform the installed component into a native package (RPM, deb, BSD pkg, whatever) later on without being dependent on a specific packaging system. It is planned to have an option in the installer that allows the user to choose, whether he wants to register the Xfce installation with the local package database.
On the different installers: The 'Xfce Installer' contains the core Xfce desktop with all the required components, which can be installed to virtually every directory in your system. The 'Gtk+ Xfce Engine Installer' contains the Xfce Gtk+ Engine and Themes, which must be installed in the same prefix as Gtk+ to work properly. Thats the reason why two installers exists.