I confirm this as a bug and will fix it right now. Its just a broken link for the edit page, it has a link for XmlXsl/Edit.aspx but it really should be XmlXsl/XmlEdit.aspx
I will fix this now, if you want to try the feature just manually fix the url when you see that error by changing it to XmlEdit.aspx
Then you will see a dropdown for choosing the xml and a dropdown for choosing the xsl but really there are no xml or xsl files in the demo site so I guess I should remove that feature from the demo. You can try it on your own site though as there is 1 xml file and 1 xsl file in the site 1, but the demo site is a child site that gets replaced frequently and doesn't have the sample files nor an easy way of maintaining it to have them.
Its not a feature I use at all myself, but basically it uses an xml file and and xsl file to transform the xml data into html. Its really only useful if you already have some xml content and xsl style sheets you want to use as content in your site.
Best,
Joe