Yeah, forget the IGES import in XSI. It gave me so much pain with faulty trimming curves and no real way to repair them, it isn't even funny.
I got the information on the XSI mailinglist that NURBS haven't been touched for about 10 years... :-(
(the price for having the best Subdiv-Modeller out there ;-) )

When importing as Obj, you can either import with user normals, which is cool in theory since the normals form Moi are used, but it only works if you don't change anything on the mesh in XSI (in that case, the normals will break sooner or later). And you can't - for instance - invert normals in XSI then (you will get wrong normals quite regularly from MOI). Or you import without user normals - then you will see seams in some areas.

As cool as MOIs Poly exporter is - I've seen nothing better so far! - it still leaves a lot to be desired in reality and XSI doesn't make it fun either.
I use the combination a lot but have to fix things by hand often.
It is still worth it, XSI handles large objects and renderings like no other software I know. On Vista 64 you can go really huuuge :-)

Good luck!

Thomas