Alt-Tab does not switch immediately in xfce

Yes, I noticed that too! I'm surprised they forgot something as important as that.

Install CompizConfig Settings Manager:

To open terminal hit Alt+Ctrl+T and run following commands:

sudo apt-get install compizconfig-settings-manager

Or search for compizconfig-settings-manager in Software Center and install from there.

Then go to System Tools > Preferences > CompizConfig, if you can't find System Tools, look for CompizConfig Settings Manager in Unity Dash.

Go at the very bottom where it says Windows Management

Put a check-mark in Application Switcher