I have learned more about this. It turns out that it only happens if the user has not set the xfce default browser app! Without a user-set default, exo-open defaults to using x-www-browser, but xfce4-terminal's context menu prefers chromium!
Once a user setting _exists_, the context menu happily uses it, but until then, it will choose chromium over x-www-browser. This is a minor bug, since there's an easy workaround: the user can actually set their default apps. But I think it's still a bug. (Also, it seems odd that the context menu doesn't just call exo-open, but there may be reasons for that.)