The XFCE extensions don't configure the system to use it as the default desktop (i.e. /etc/sysconfig/desktop is not set) and don't provide any Tiny Core related script like for building menus (applications, ondemand).
Since XFCE is a Desktop Environment and not just a Window Manager, there would probably be more work required to make it a complete DE for Tiny Core.
Also xfce4-session.tcz , xfce4-panel.tcz and probably others are missing libwnck2.tcz from the .dep list.
After libwnck2.tcz is added to xfce4-panel.tcz.dep , xfce4-panel seems to be usable. You might be able to use it alongside any WM by starting it from ~/.X.d so you could have a fancy start menu.
XFCE's Window Manager (xfwm4) seems to be quite useless without the other XFCE tools - I'd stick with Openbox in that case.