Question

I was under impression that

rm -r *.xml

would remove all file from parent and child however:

*.xml: No such file or directory

Answer 1

The man page of rm says:

 -r, -R, --recursive
          remove directories and their contents recursively

This means the flag -r is expecting a directory.
But *.xml is not a directory.

If you want to remove the all .xml files from current directory recursively below is the command:

find . -name "*.xml" -type f|xargs rm -f