I export out XML in case I have to restore the Project on another System for whatever reason. There’s always a danger with large projects that something goes wrong and you’re left scrambling trying to fix things with time running out. Just another safeguard, alongside Versioning.
You will end up running your Stills Project and your Edit Project concurrently on occasion. But you don’t want to have them both open all the time as that again impacts on performance.
With regards to Online/Finishing, that will depend on your budget. If the Producers can spring for a Color Grade in a Grading Suite and a Finishing Session in Smoke that would be ideal. If not, Grading and Finishing on something like a Symphony may be the way to go. Or if there’s no money left over you may have to do it within Final Cut!
Btw, recent versions of Smoke accept FCP XML, so incase you go that route, the XML will come in handy.