You are not doing anything wrong as regards the so-called shades of Black on the default color line. It is that the help file is a bit mis-leading. Yes, they will be "quality printed grays." But that doesn't mean they won't be a mix of CMYK or RGB values (depending upon the output intent).

Make all your text 100% K. Now, there is a lomg-standing bug in Xara products that can catch one out. That is, if one has an object defined as RGB of 0,0,0 and switches to the CMYK color model in the Color Editor, it will show as 100% K. It most definitely is not 100% K. It is a rich black composed of X amounts of CMY plus a high percentage of Black (if not 100% sometimes).

But with such an object selected, if you make the CMY sliders 0% if not already, then slide the K slider down a bit and back up it should work.

I use my own palette that avoids this issue.