Where do I set-up a screen saver in Xubuntu 15.10?

Those settings are located in the power management settings. You can directly launch that using xfce4-power-manager-settings.

The blank option makes your screen display the black color but does not turn it off! I don't know what is the difference between sleep and switch off because both seem to make my monitor enter standby mode.

The short blunt answer is sense 14.04 you can not have a screen saver other then the blank black. You will have to install xscreensaver or gnome-screensaver

I don't believe Xfce comes with a screensaver. I use the "Switch off after" setting in the Xfce Power Manager to switch off my monitor.

The "Blank after" and "Put to sleep after" settings don't give me even a blank black, but do trigger the login window as configured on the Security tab.

This is seriously non-intuitive, as the Security tab implies that Light Locker only activates "when the screensaver is active", and since nothing on the Display tab (or elsewhere) mentions a screensaver, I assumed it wasn't set up. Where's my "screensaver" setting, even if it's only for black?