NetBSD default configuration of XDM is a bit buggy. If you want to start xfce4 session, configure your ~/.xsession as normally.
Then your login will be rejected, and the system drops you back to the XDM login screen.
To solve add a line to /etc/X11/xdm/xdm-config like this:
DisplayManager*authName: MIT-MAGIC-COOKIE-1