XFCE hasn't it owns network manager.Use wicd instead (pygtk-based)

sudo apt-get install wicd

Xubuntu 10.04 comes with some GNOME applications such as the Network Manager, just tried on a fresh install:

alt text

Don't know what is used in Xubuntu 10.10, but I doubt it's much different. If you're not happy with Network Manager you can always switch to WICD as karthick87 suggested.