I think you're both getting confused, read the docs on XAudio2
where it's all spelled out.
You don't need any special codecs to load and play OGG files on a channel, it's built in. (You would need the Windows Media Player codec if you used the 'Play Music' action, because 'Play Music' plays via Windows Media Player). OGG is probably slightly superior in audio quality and compression compared to MP3, but only because MP3 is actually really crap but the whole world insists on keeping on using it.
xWMA is a special, and rather confusingly named, format for .WAV files. It's based off a stripped down version of the WMA codec. So xWMA and WMA are different things. You don't need a codec to load any of the formats to a channel, xWMA and ADPCM are natively supported by XAudio2. Sadly, I don't know of any popular software which can create xWMA format WAV files.