I'm not sure if you've seen it already but here's a pdf guide that tries to explain how they both work together.

It's tricky to explain in a concise way but I try to summarize it with the following paragraph in the guide..

In summary think of each page in your Xara document as a page template and not an actual web page.
The actual web pages on your site are controlled and output by the CMS whilst their appearance and
layout is determined by the page template.
I'm not sure if that's helps, it can be tricky to understand the workflow initially.