All of this is really the typical fight: A user, who knows what he wants, but software thinks, that it knows better. In this case mostly theming. Yes, it's good for most users if all programs use the same theme and stuff, that helps a lot. You don't have to learn everything again. But really, some of my programs have their own theme and stuff. And then it isn't helpful if things like lxsessions's internal xsettingsd try to force every program to the same theme.

Yes, I found how to disable things. But it wasn't fun, really. You have to edit xml configs in ~/.config and stuff. But yes, it works out. So that's the good news: In free software, there usualy is a way to fix it. But having to do it at every upgrade isn't really nice.

So this time: My only problem left with xfce4-session was, that it started xfsettingsd. So I chmod a-x /usr/bin/xfsettingsd, restarted xfce4-session (luckily started from xterm, so no need to restart the X-server) and got some errors telling me the source of the start. In this case /etc/xdg/autostart/xfsettingsd.desktop. Which one can override in ~/.config/autostart/. So after doing that, everything's fine now.

Next: Filing a bug on xfce4-session to only Recommends: xfsettingsd instead of Depends:.