The issue was the double back slashes in the xml Workspace Document Path.
Once I removed the second back slash, I was able to export to xml.
Yet, I was only able to export at the SDE geodatabase level, NOT the feature dataset level.
As a workaround so that I could export the xml at the feature dataset level, I right clicked the dataset, and exported the xml workspace document schema only.
I then opened this new xml by putting the path to it in the 'xml Workspace Document' space, and then using the x-ray icon 'Open Selected xml workspace document (schema only).
I took extra precaution by setting the 'Geodatabase' space in X-Ray to a scratch workspace, so that I would not mess with the SDE database.
The difference between using the catalog right-click method to get an xml, and using X-Ray to get an xml, is that using the X-Ray method will create an 'X-Ray' folder where the xml is stored, which contains excel documents that mimic the xml. The right-click method will only generate an xml, and then the user will have to take that extra step using X-Ray to create the 'X-Ray' folder .
Another alternative may be to export the SDE database to a location outside of SDE, using the right-click copy, or the distributed geodatabase export wizard tool.
Then, generating an xml and 'X-Ray' folder using X-Ray.
The disadvantage to doing it this way is that it takes longer.
