You are right, the %f (and others like %u and %d) should be better documented. They do allow more powerful possibilities like inserting a filename in the middle of a command, not just at the end.

Xfdesktop will be replaced by an extension of Thunar in the next version of Xfce, a bit like Nautilus for GNOME. Which makes sense, it's just a directory window in icon view with a pretty wallpaper. That will solve issues like single-click launching, operations on multiple items, pasting items and emblems.