That means that for 'simple' tasks, like powering an electromagnet (12V so external circuit with relay/transistor) could be done just using a zigbee module, without arduino?
True.
Then i have another question regarding prototyping: I'd like to test 2 or more zigbee modules communicating with each other.
Could i just use 1 arduino + zigbee shield, and buy 1 or more additional zigbees that i could plug into the shield to configure / setup?
and then later detach them from the shield to be used standalone?
Yes, but... Using a shield to program an XBee is a royal pain in the ass. Get one of these to do the configuring.