We haven't really had any requests for anything XML-related with PropertyGrid. In XML by itself, there isn't a defined structure requirement. It would need some kind of DTD or XSD paired with it to know what to do. Not only that but there are issues with things like repeating dynamic complex sequences in those schemas, which wouldn't really be easily supported in a PropertyGrid. Along with a high potential for element attributes, which wouldn't be supported either. I don't really see how it could work in a generalized use case, so it's probably not something we will work on. If you have some very basic XML element-only markup that you wish to support, making a custom data factory would be your best option and should be doable.
The MacroAction you mentioned is related to our SyntaxEditor product for recording typing actions, and isn't applicable to PropertyGrid.