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There's nothing complicated about installing another desktop; it works just like installing anything else.
If you install XFCE from Ubuntu's repos, you would then log out. On the log in page, there is a session chooser, an icon that looks like the Ubuntu logo in the login dialog. Click that and select XFCE.
I mean if there are any differences on the final result, or if it is just the same, but with a different installation
Bear in mind there are more ways to actually install xfce. By installing xubuntu-desktop you should end up with Xubuntu, by installing xfce with just xfce.
If you start with Ubuntu and install xubuntu-desktop on top, you'll end up having installed all the Ubuntu apps too, so the result would likely be something like starting with Xubuntu and installing Ubuntu on top. If you start with minimal Ubuntu (=Ubuntu server), you'll end up having Xubuntu. If you install xfce, you'll get just xfce.
So, to keep proper Ubuntu and have xfce as a bonus DE, i would install xfce.
To transform Ubuntu into Xubuntu, i would reinstall Xubuntu.
I'd say install Xubuntu. The obvious difference is that the two distros have different programs in their installation package, like the word processor and media player. The less obvious difference is that the Unity GUI, being based on Gnome, may have components which interfere with the operation of Xfce. I don't know this for sure, but I've certainly seen it happen with Gnome. Then there will be the duplicates in the Xfce menu: two file managers, two terminal emulators, etc.
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