I think this done by using Photoshop, since the XFCE panel shadow wasn't that good/tweakable.
Took the wallpaper, add a (panel) layer to the top (bit calculating/fine tuning so it looks OK) and finally add a drop shadow to the layer. As you can read, the panel is actually hard-copied into the wallpaper.
I haven't tried it on Xubuntu. On Archlinux I have installed all the required (patched) packages myself. ([link]) But maybe the following links may help you enabling global-menu in Xubuntu: [link][link][link]