I recently reinstalled Debian on my workstation PC and had the same problem with Xfce4 not showing up in the gdm session menu. The problem seems to be that the Xfce4 package doesn't create a /etc/dm/Sessions/XFce4.desktop file. My (temporary) solution was to copy the default.desktop to XFce4.desktop and edit it manually to run the xfce4-session executable. I was quite impressed by the installer, it has come a long way since the last time I installed Debian (2002-ish). Still not perfect though, I had some problems with the LVM setup (although probably attributable to user stupidity :-) ).