It really means exactly that - we don't "support" XP mode - ie, if it goes wrong, you can't call support and ask about it. We don't test this particuar environment in our QA process because it's so uncommon.
To be honest, I can't see any reason it would have any effect on EEPC at all - XP mode seems to be (and I am a noob at it!) just a cut down Microsoft Virtual Machine environment, so EEPC won't care about it at all - the underlying disk encrypted with the operating system will still be protected.
So, give it a go I guess and let us know - it would probably be best to try it on a machine with the EEPC pre-boot active, but the disks NOT encrypted to start with, just in case XP mode tinkers with the MBR ( I can't see why it would though).