Which Build of PB 9 are you running? I'm running PB 9.0.1 Build 7066 and can save Datawindow data as XML without problems. I'm still having problems trying to save as pdf, however.
Back to your problem - you may want to look at Sybase's website to download an EBF or to scan through the fixes to see if there are any XML related fixes. I ran into some edit mask and date validation issues after migrating a PB 7 app to PB 9 and Build 7066 seems to have corrected those issues, at least.