The shortcut for "move windows to another workspace" in Xfce should be Ctrl+Alt+Shift+← / → / ↑ / ↓. But it doesn't work, there're no such shortcuts. Why, am I missing anything?
There isn't any. By default, the action "Move window to left/right/up/down workspace" has no shortcuts set and that has not changed since Xfce 4.6 to this date. So the shortcuts might have been deprecated earlier or not adopted at all.
But there should be
Those 'old' shortcuts were originally found in GNOME; I'm aware of this, because I had been using GNOME 2 before switching to Xfce 4.8 and newer. The oldest known proof is shown by the screenshot with additional highlight as follows.
Source: Xfce 4.6 tour, screenshots by Jannis Pohlmann. The original screenshot was used to describe "fill operation" for xfwm4, which luckily showing the unset window shortcuts.
Revive them anyway
To define shortcuts for the action "Move window to left/right/up/down workspace", user can configure in
xfwm4-settings or navigate from Settings Manager in Xfce.
Go to Settings Manager > Window Manager - Keyboard
In the tab, scroll down until "Toggle fullscreen" entry and the relevant actions "Move window to..." are listed below it with empty column on the right
For the corresponding action "Move window to upper workspace", do either double-click the empty column, or select the row and click Edit
A small popup window will appear, then press the shortcut keys of choice to be assigned for previously selected action: Ctrl+Alt+Shift+↑ for "Move window to upper workspace" and then the popup window will be closed
Repeat step 3 and 4 for other actions, and finally click Close to finish.
To this date, Wikipedia still note the 'old' shortcuts in the article of Table of keyboard shortcuts under "Window Management". That has changed since the introduction of GNOME 3, with most of the shortcuts have been redefined and favours combination of Super key.
Xfce 4.12 does have lots of shortcuts devoted to moving windows across workspaces.
There are shortcuts for moving a window to "previous workspace" and "next workspace", which correspond to left and right if your workspaces are in a row. These keys both move the window and change the focus to the new workspace. As is evident in the screenshot, there are no predefined shortcuts for moving a workspace "left", "right", "upper", or "bottom" (as noted by @clearkimura).
The shortcuts to move windows to specific numbered workspaces are predefined to work with the numeric keypad (noted by @aguaopd). These keys move the window but do not change the focus to the new workspace.
By default I have Ctrl+Alt+home and Ctrl+Alt+end to move windows to the next or to the previous workspace.
Xfce 4.12 (at least in my Manjaro stable Illyria 18.0.2) does have default shortcuts. These are
Ctrl+Alt+2, and so on. However, those numbers are the keypad numbers. (Source)
So you can edit the shortcuts and press the normal numbers on your keyboard, and then they will work as many expect. Please note that they work either with the normal number keys or the keypad keys, but not both. Maybe there's a workaround for this.