The cause of this may be in a way related to LXDE but not directly: it is the Xfce's session manager that seems to be the real problem, and switching between different DE sessions might have triggered this. For some reason `xfwm4` does not start or does not work properly at the start of an Xfce session. Browsing the internet I found that for this and other issues people recommend clearing session cache and setting **not** to save automatically the session at logout (source here).
So, in Menu/Settings/Session and Startup:
* under Session tab:"Clear saved sessions"
* under General tab: uncheck "Automatically save session on logout"