This is another reason not to use XML, plain and simple It's too much hidden power in the hands of those who don't know what they're doing (loading external entities pointed in an XML automatically? what kind of joke is that?)
Your browser does much the same when parsing (X)HTML. LaTeX naturally includes ‘external’ resources when building an output file. There are tons of examples like that, loading external entities per se is not wrong, it’s mostly just wrong under these specific circumstances.