Sorry to end up gushing about Xara. First time I used it so I was excited.
About importing vector art to Photoshop, the obvious question would be why vector? Photoshop is a primarily a bitmap image editing software, so if you're planning to use it's effects, you'd have to convert your vector art to bitmap format anyway. Just no way around it. You'd have to jack up the resolution to get rid of the jagged edges, but you already know that. If you want to keep the clean vector edges and small file sizes but looking for effects Xara don't have, it would be more sensible to try to get it into Illustrator perhaps.
Just my two cents.
I'll go and stand in my corner now.