I set the speed on both Xbees and Arduinos to 115200, there was no change: I could see on the serial monitors (I have the boards hooked up to two different PCs) both sequences of EFEFEF and HLHLHL generated at apparently the right frequencies but only the led on board #1 pulses. If I change the delays on board #2 from 2000 to 500, then it is the led #2 which is blinking. This confirms what you said before:
The faster one will eventually overflow the serial buffer on the slower one.
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Now my question is: how to manage not to get this buffer to be overflown?