1- USB position - if I leave the processor in its place, why should I expect that "If the microcontroller is left in the Arduino board, it will be able to talk to the computer normally via USB, but neither the computer nor the microcontroller will be able to talk to the Xbee module." ?
In this case, the TX (transmit line) of both the microcontroller and XBee module are connected to the RX of the USB. RX of both the microcontroller and XBee module are connected to the TX of the USB. So the microcontroller can't talk to the XBee module (because they're not listening to each other's transmissions). To be honest, I'm not exactly sure why the XBee module can't receive data from the USB connection, but that's what happened when I tried (alternatively, it may be that it is receiving data, but that the responses don't make it from the XBee module to the USB connection, so you can't tell that it received anything).
2- Xbee position - here I don't understand why "]the microcontroller will only be able to receive data from the Xbee module, not over USB from the computer".
Of course, thinking to a situation in which I am not using both the interfaces, why the processor should not receive data from the computer?
Even if you're not using the XBee module, if you have the jumpers in this position, it is still connected to the microcontroller. This connection interferes with the communication between the microcontroller and computer.