Thanks, the session simply does not open. I am trying again from gdm first. I suspect I missed some package. So, in my
/usr/share/wayland-sessions/xfce-wayland.desktop
I see these lines:
Comment=Use this session to run Xfce as your desktop environment
Exec=startxfce4 --wayland
If I open tty and type startxfce4 --wayland, an error tells me it can't find startxfce4.
xfce4-session-wayland is installed.