It's making three round trips. The first is to get the original xml file, then it's to load the second xml file, then it's to load the stylesheet.
Now you can imagine with a real site, you will have many includes per page, each one perhaps using includes of it's own. You end up with a really bad waterfall where it can take a long time for a page to load because it's going back to the server constantly, whereas if you did it on the server it would be a single round trip.
Early SPA's did this, they would load a shell and then begin fetching from the client. Some still do but we know better than to do this for things that aren't web apps.