I forgot to mention that the XBEE wifi module has a current peak when powering up of 750mA, the peak takes almost no time (page 17 on the XBEE manual)
Reading again the shield's datasheet I noticed that the maximum current draw is 800mA (voltage regulator).
You can't expect the Arduino to deliver that kind of current.
I don't really think those devices are intended to be used on the XBee shield, and I don't think they are intended to be powered by the Arduino. Remember that just because you can doesn't mean you should.