XFE has its own theme settings (I think it's a "pure X" app, no gtk (which is what lxappearance controls) or qt toolkit), and there's the option to set the incons' path, but it does not seem to be compatible with gnome or kde icon folder structure. I don't know about e17 though. Debian's theme package for xfe does not include "Azenis" though, only "blue", "brown", gnome, kde, tango, windows, xfce and xfe.
I think that theoretically you can take a look at the xfe theme folders and manually create an Azenis theme for xfe, creating symlinks to the Azenis icons folder and renaming them if needed, according with the xfe icon name pattern.
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