I know it is not what you are after but does this help?
Brave A.I. came back with:
" To make Alt+Tab cycle through more than two windows in XFCE, you need to adjust the cycling settings in Window Manager Tweaks:
Open Settings Manager → Window Manager Tweaks → Cycling.
Ensure "Cycle through windows in a list" is selected (this enables the full list mode).
Check "Include hidden (i.e. iconified) windows" if you want minimized windows to appear in the switcher.
Make sure "Cycle through windows on all workspaces" is enabled if you want to switch across workspaces.
Hold the Alt key while pressing Tab to cycle through all windows in the list, not just the last two. This behavior mimics Windows-style Alt+Tab.
If you're still limited to only two windows, ensure you're using Xfce 4.12 or later , as earlier versions had limited cycling functionality. You can upgrade via your distribution’s package manager if needed.
It's not that bad, I can also use the shortcut with Shift+Alt+Tab key and then it works, but it would be interesting to know why it doesn't work.
So many default keyboard shortcuts for windows in XFCE don't work at all, which is annoying.
I had hoped that the issue would be solved in Zorin 18 Lite, but still the same problem there. Switching through all opened windows (more than 2) only works with Shift+Alt+Tabulator, not with Alt+Tabulator.
So I ran a live session of Lite last night (didn't have time for an installation), but from what I could tell my Alt-Tab was working perfectly for multiple windows (I had 2 thunar windows, brave, libreoffice, and power settings) and it showed all the windows with Alt-Tab, as well as with Shift+Alt+Tab.
Hm, mysterious. I tried it again in Zorin 18 Lite live session but only backwards worked with all windows. Now I set Alt+Tab as shortcut for backwards, which also works, and removed the normal one. So that's a good solution for me.