Assuming you want to use more than one sensor at a time, simply wiring them into the headers of the shield is not really enough and proper terminals are required.
I know nothing about Xbee shields. I assume they are made to take the Xbee module and therefore you have that side of things sorted. I think the sensor adapter is just a piece of junk. The two others are much the same as each other. I have the second one, you can get that for half the price on eBay. I found it useless. Quite aside from the fitting problems, I have never seen any plugs that fit in the sockets provided and I could do a better job making my own. You probably would too.
Googling Xbee shield, I see the red Sparkfun looks fairly, if not very, sensible. It has a prototyping area on which you can put your own headers to take your own sensors. If your shield is one of those or similar, you don't need to waste your money on the other stuff.