Это, кстати, документировано (хотя я когда-то кажется тоже нарвался на вот такое же, как вы).
ЭмбаркадероWhen TXMLDocument is created without an Owner, it behaves like an interfaced object. That is, when all references to its interface are released, the TXMLDocument instance is automatically freed. When TXMLDocument is created with an Owner, however, it behaves like any other component, and is freed by its Owner. When you add a TXMLDocument component from the component palette to a form or data module, it is automatically created with an Owner. When the TXMLDocument component is created using the global LoadXMLDocument function (or by a function that the XML Data Binding wizard generates to return the root node of the document), the function creates a TXMLDocument instance without an Owner.
http://docwiki.embarcadero.com/Libraries/XE3/en/Xml.XMLDoc.TXMLDocument