Each of the circled numbers is actually a letter (or glyph). To get them to show up in Xara and the pdf, you have to actually enter the "letter" corresponding to the desired circled number and apply the typeface. Unfortunately, this sequence of circled numbers doesn't have corresponding letters in Wingdings, and Xara doesn't know what to do with these glyphs.

If you want to use Wingdings particularly, you can paste the numbers into Word first, then copy them from Word and paste them into your Xara document. (You will need to make sure that the font is associated with each character. When you paste the glyph into Word. it may assign the previous typeface.) Alternatively, you can use a typeface in which the circled numbers are associated with letters. I normally use Monotype Sorts for this. Either way, the circled numbers should show up in the pdf.