It seems to me that XFCE doesn’t mount removable devices which are already connected before you log in.
So I decided to write this small C program based on gio which automatically mounts external devices. I let it autostart at login et voilà everithing works as expected.
Symply put the gio-autostart.desktop file in the /etc/xdg/autostart directory and the programm will mount external drives at log in. You could also run it manually without parameters.
Code is hosted on github: