Have a look at this message (from the developer?) in a bug report, showing you that everything works as it is supposed to
This is a very counter intuitive behavior of this application, that needs to be fixed eventually:
Despite what it looks like, cpufreq does not currently allow you to change the governor. It merely lists the available ones, and highlight the current one. Unfortunately, it does so in a way that makes it look like you could change them.
I'll try to fix this whenever I have time, which might not be immediately.
Maybe you'll be lucky with XFCE 4.10; although the bug reports would probably have been closed then
(Here's the source, btw, you could help out with this feature)