Ok, I passed two days to understand what's wrong with it and I just found it !

If you look in .cxoffice/default/desktopdata/cxmenu/xdg-xfce-applications you should find your installed apps right ?
for each .desktop file, it dosent include a Categories=

ex for excel desktop file

[Desktop Entry]
Encoding=UTF-8
Type=Application
X-Created-By=cxoffice-6c3ca819-fead-4c71-8912-ec261bb86191
Icon=/home/seb/.cxoffice/winxp/windata/StartMenu.C^5E3A^5Fusers^5Fcrossover^5FStart^2BMenu/Programs/Microsoft+Office/Microsoft+Office+Excel+2007.xpm
Exec="/home/seb/.cxoffice/winxp/desktopdata/cxmenu/StartMenu.C^5E3A^5Fusers^5Fcrossover^5FStart^2BMenu/Programs/Microsoft+Office/Microsoft+Office+Excel+2007"
Name=Microsoft Office Excel 2007
Comment=Effectuez des calculs, analysez des informations et visualisez des données dans des feuilles de calcul à l'aide de Microsoft Office Excel.

The new version should be

[Desktop Entry]
Encoding=UTF-8
Type=Application
X-Created-By=cxoffice-6c3ca819-fead-4c71-8912-ec261bb86191
Icon=/home/seb/.cxoffice/winxp/windata/StartMenu.C^5E3A^5Fusers^5Fcrossover^5FStart^2BMenu/Programs/Microsoft+Office/Microsoft+Office+Excel+2007.xpm
Exec="/home/seb/.cxoffice/winxp/desktopdata/cxmenu/StartMenu.C^5E3A^5Fusers^5Fcrossover^5FStart^2BMenu/Programs/Microsoft+Office/Microsoft+Office+Excel+2007"
Name=Microsoft Office Excel 2007
Comment=Effectuez des calculs, analysez des informations et visualisez des données dans des feuilles de calcul à l'aide de Microsoft Office Excel.
Categories=Windows Application;Microsoft Office

Even if we make a symbolic link for the .directory in the /usr/share/desktop-directories, that's not going to work.
You'll have to edit your /etc/sdg/xubuntu/menus/xfce-applications.menu to add the reference of the new directory

ex
<Menu>
<Name>Windows Application</Name>
<Directory>xWindows-Application.directory</Directory>
<Include>
<Category>Windows Application</Category>
</Include>

<Menu>  
    <Name>Microsoft Office</Name>  
    <Directory>xMicrosoft-Office.directory</Directory>  
    <Include>  
        <Category>Microsoft Office</Category>  
    </Include>  
</Menu>  

</Menu>

Im sorry for my english but it should help a lot of people
As I can see, the proble is not comming from XFCE, but codeweavers prorammer by not putting the Categories= in every .desktop files, not giving the right name of every .directory file and not reediting the xml

To make it simple, And see your icons you could do this command in a terminal and you will see all of your icons in Other

sudo ln -s /home/(your username)/.cxoffice/default/desktopdata/cxmenu/xdg-xfce-applications/ /usr/share/applications/cxofficeapps

sudo ln -s /home/(your username)/.cxoffice/desktopdata/cxoffice-0/cxmenu/xdg-xfce-applications/ /usr/share/applications/cxoffice

reload xfdesktop

sudo xfdesktop --reload

If the reload failed and you see any changes, do this
sudo Thunar
open /home/(your username)/.cxoffice/default/desktopdata/cxmenu/xdg-xfce-applications/
cut a .desktop file and paste it in the /usr/share/applications/ directory :)
after delete it

voila ! c'est simple

The root of the problem is that Crossover's developers have chosen to be wholly XDG-complaint as per the standards laid out at freedesktop.org, in order to fully support GNOME and KDE. XFCE is not fully XDG-compliant, and uses some menu creation rules which are not standard as per the XDG specs.

If XFCE requires the presence of the "Categories" desktop entry key, as seems to be the case, then this is an example of a deviation from XDG specs:

http://standards.freedesktop.org/desktop-entry-spec/latest/ar01s05.html

as "Categories" is an optional key.

Another example is that XFCE does not respect the ".../menus/applications-merged/" base directory

http://standards.freedesktop.org/menu-spec/latest/ar01s02.html

looking only to ".../menus/xfce-applications.menu". The specs dictate that XFCE merge the contents of ./applications-merged/ into ./xfce-applications.menu to avoid having 3rd party programs tamper directly with ./xfce-applications.menu, but this does not happen in XFCE. Thus, the Crossover menus which are located in /etc/xdg/menus/xfce-applications-merged/cxmenu-cxoffice-0.menu (Crossover's primary menus when installed as root) are not generated when the panel generates the menus because XFCE is only reading /etc/xdg/menus/xfce-applications.menu

Unfortunately, there's just not enough XFCE users of Crossover to justify extensive tampering with our menu system in order to accommodate XFCE's custom rules. Our hope is that future editions of XFCE become fully XDG-complaint. Until then, there are a variety of ways of hacking around the Crossover/XFCE incompatibility (as demonstrated in the original post), but none of them are very pretty.

Spot on Jack -- I've used XFCE since it's beta days, and what you say here is correct ;
it's mostly the merging of entries that's unimplemented which causes a lot of the grief
here. If you're running XFCE on a Debian system, there is no problem as such because the
debian/gnome menu helper will create menus under the 'Debian' menu item. As I understand
it, it is the aim of the XFCE devs to get that WM fully XDG compliant, so it's not a thing
I would go wasting any time on to remedy, as in some future XFCE release, this will all
start to work as expected and as aligned with the XDG spec.

Cheers!

I've found a solution that works for me. I've installed "gnome-main-menu" (couldn't find the default Ubuntu menu, if it's not this one) and "xfce4-xfapplet-plugin". Then, I right-clicked on my menu, added an item, chose "xfapplet", chose "Main Menu", and voila! My new menu correctly displays CrossOver and its games. Yay!