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Both ROX and xfdesktop (and GNOME, and KDE) use a fullscreen window as desktop background.
Not true. Rox doesn't use a fullscreen window for the pinboard any more. It did ages ago, but that's history. I've used it with Openbox's, WindowMaker's and a few other WMs' root menus and it works just great.
As I mentioned before, I haven't tried it with xfdesktop because I didn't use that part of XFCE4.