There really is nothing about XFCE that I can think might cause this issue.
There are two things I can think of.
Java.
Zorins placement of the application launcher.
Jeslin, can you navigate to /usr/share/applications/firewall configuration and open it in a text editor.
Scroll to the bottom and relay what is on these lines?
Exec=
Icon=
Terminal=
Type=
X-GNOME-Settings-Panel=
X-Unity-Settings-Panel=
X-Ubuntu-Gettext-Domain=

But I can find Firewall Configuration under system.

I'm a boy but people think that I am a girl because of my name (only if they don't see me).