The settings daemon – process name is xfsettingsd – is an application that runs in the background to apply various settings in the desktop. The application 'listens' to the xfconf channels and applies them when the user changes the setting in a dialog and configures everything on startup.
Normally the process is started by the session manager. If this is not the case, you can manually start the process in a terminal (it will fork to the background) or check if the application is enabled in the auto start application of the session manager.
If you have problems with settings and wonder which and if the settings are applied, you can run the daemon in debugging mode. You can do with with the following command in a terminal:
XFSETTINGSD_DEBUG=1 xfsettingsd --replace --no-daemon