I also have Xara Designer pro x, so I gave it at try and found I could reproduce your problem when using the Windows Explorer to drag and drop photos in my computer to Xara Designer X. I also got an error message each time.

However, I usually use the Faststone Image Viewer instead of Windows Explorer, and found that I had no problem whatsoever when using the Faststone Image Viewer to drag and drop to Xara Designer Pro.

The Faststone Image View is one of my favorite tools and can be downloaded for free at www.fastone.org

Note that the Faststone Image View can be used for free, but is in fact Donationware, so If you find it useful please support them by donating something to pay them for their great product !

I'm not associated with Faststone in anyway. I just love their Viewer ! A very useful tool !