These are not NetBSD related questions, so maybe there are any other forum where you can get more and better answers, but otherwise:
1) I am not using Xfce, but as far as I recall, the programs once installed they MUST appear in the menu, unless (for example I remember it happens with seamonkey and gmplayer), the package doesn't include a application.desktop file. In that case you will have to create it manually. Go to /usr/pkg/share/applications and pick one of the .desktop files copy it to another place, modify to your need and copy it again where it was originally after rename it with your application name and the suffix .desktop .
2) Without xscreensaver I don't know the answer, sorry.
3) Install a session-manager gdm or lxsession for example, but, at least in the case of gdm, if you want to Xfce4 appear as an option, you will have to go to /usr/pkg/share/xsessions and copy gnome.desktop file, edit it replace at the in the line beginning with exec the word gnome-session with startxfce4, save it as Xfce4.desktop in the directory above mention, and it will appear as an option. I don't use lxsession.
I hope I could help you a little bit.
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