I do not have the Xbee shield but I think you are confusing the situation. First read the Xbee shield pages carefully again:http://www.arduino.cc/en/Main/ArduinoXbeeShield
and I also highly recommend the Tom Igoe book, Making Things Talk.
My understanding is that the jumpers on the shield control communications with the computer that is hooked up to the USB connector on the Arduino. The microcontroller is removed only to configure the Xbee itself from the computer. Once the Xbee is configured, and the Arduino has a sketch uploaded to firmware (and this is done on both Arduinos and shields) there should be no reason to remove the microcontroller. The Xbee transmission in its simplest form can act as a wireless serial link between the Arduinos.
But I am also new to this - as I suggested, get the book.