Yea I've got something similar but XF -> WP, additionally when I associated the 'website' WP tag with the XF board 'News' and make a post it isn't created a thread on the News board.
The WordPress poster must have a connected XenForo account for their posts to be published to the linked forum. Have you tried connecting your accounts?
Noticed I didn't have the XenForo Guest Account set up, now the WP -> XF stuff seems fine! Sorry if this has already been explained somewhere It seems anyone registering on the forums doesn't get a WP user created automatically, it just allows them to login to the Wordpress install at which point it will create it?
When XenForo visit a WordPress page, if you enable the sync cookie option a new WordPress account will be created and login automatically. If you don't enable that option, user will have to click login in WordPress for the account to be created.