XDXF dictionaries work perfectly ok for me:
There is a bug though. GoldenDict does not scan XDXF files if they are located in a subfolder of the folder selected in Dictionaries > Sources > Files. Even if you select Recursive checkbox for that folder. So the workaround for now is to browse to the exact folder where the *.xdxf files are and select that in Dictionaries > Sources > Files.
Hope that helps.
Edit: There is no such bug. I have retested and it works correctly.