I'm not sure what the startxgl script/command does, but I would guess that it just launches Xgl and then Xfce. Everything other than the X server will start as normal, including your regular window manager (xfwm I believe). This is what needs replaced by compiz. To check if compiz is running, run
ps -ax | grep compiz
and see if the compiz process is running. It might also be an idea to check for xfwm as this will also indicate that compiz is not running.
I'm not sure how you would go about getting compiz to start with Xfce. I use Gnome and it was a case of telling gdm to run the start up script I wrote for it. I'm sure googling or someone else will be able to help you though!
EDIT: try running this to start compiz and see if you get the effects then.
compiz --replace miniwin decoration transset state wobbly fade minimize cube rotate zoom place scale move resize switcher trailfocus water bs &