The
exec builtin replaces the running shell with whatever program you run. The point is to avoid clogging the process table with shells that are just hanging out waiting to do nothing but exit as soon as their child process finishes. It's like tail-call optimization in programming languages.
In UNIX, the system call version of exec(2) is how _any_ program is run. Normally, when you type a command without the exec builtin in front of it, the shell first makes a copy of itself, and then that copy replaces itself with the program you want, using exec(2). Putting exec in front of it just causes the shell to skip the make-a-copy step and replace itself right away.
In your case, the script exists to set things up in the environment and then run xfce4-session; there's nothing for it to do after xfce4-session completes, so it uses exec to tidy up.