Good news:
I executed command "xdg-user-dirs-gtk-update", and the folders in italian was added. I moved my data and deleted the english folders. I put the command "xdg-user-dirs-gtk-update" to run on login automatically.
Reboot and now all are ok, thunar is always in italian.
A big thanks!
---------------
P.S. However, I think this is a bug, and I think to be solved in the future versions of the Fedora Xfce spin. I love this spin, make it perfect!
;-)