Seems the new 0.8.2 terminal is capturing the F10 key presses to show the (hidden) menubar. I have terminal (with multiple tabs), hidden menubar and Midnight Commander running. When F10 key is pressed in tab with MC the menubar and not the MC's "Exit" dialog appears. Version-Release number of selected component (if applicable): xfce4-terminal-0.8.2-1.fc24
Go to preferences -> advanced and check the 'disable menu shortcut key (F10 by default)' and see if that fixes it?
Yes, it's that, thanks. Fortunately XFCE still keeps stuff configurable :-)