Bring your media in first. Then import the XML and then Resolve should ask where in the media pool it would search for the files. There are also multiple ways to reconform after the fact, but that would be the easiest way to start a project.
Also there are a lot of stuff that will not come over from a FCPXML file and those should be mentioned in the manual. I don’t know if you can flatten multicam edits in FCPX, but you should probably try that as well.