The Python SDK is not required. The XenServer app uses Python to query the XenServer Pool Master via XenAPI (which is a web service). You will need to modify $SPLUNK_HOME/etc/apps/TA-XS60-Server/local/xsconfig.conf for your XenServer pool details.
You should not install the Universal Forwarder on XenServer. The Universal Forwarder should be installed on a remote machine. This remote machine can be physical or virtual. The only requirement is that the remote machine have Python 2.4 installed. You can install on *nix or Windows.