Be aware there are 3 display mechanisms available to xfce
I'm well aware there are multiple terminal emulators, which is why I have been specific in stating which one to use. The one called "Terminal" is Xfce's terminal emulator program, and it is a GTK program unlike the others. It is the only of the three you listed that will work with CTRL+Shift+U.
I had to set up my environment to be non UTF-8 in order to replicate what you're seeing. With UTF-8 disabled executing "LANG=en_US.UTF-8 Terminal" from within Terminal did not allow me to display the Unicode characters in the newly launched Terimal. However, executing "LANG=en_US.UTF-8 Terminal" from within Konsole (KDE's QT based terminal emulator) worked fine and the newly launched Terminal displayed the Unicode characters properly. Also, setting LANG with "export LANG=en_US.UTF-8" prior to starting X worked.
What you can do is add the line following line to your ~/.bash_profile file (assuming you use the Bash shell; adjust accordingly for other shells):
then exit X, logout from the terminal, login again, restart X and try again.
You can also enable UTF-8 globally by adding the following to /etc/lilo (or uncomment it if it is already there):
run "lilo" as root, and reboot. The default in Slackware is to have that disabled. There may be reasons for that, but I have had it enabled for at least the last two Slackware versions without any problems. Someone more knowledgeable can chime in on any potential pitfalls.