I've done a little research and I suspect the faders you are trying to map are sending SysEx data... which MS2 can't learn.
Are you in Master mode or Voice/Performance mode?
Here's a solution:
(refer to pages 254-257 of the XS manual)
In Master Mode on the XS, select the Full Grand Piano Voice. Select edit and then [F2].
In Edit mode change Zone Switch to ON and Knob Control Switch to Zone.
Press the Part Select #1 Button & exit Common Edit.
You can press [F3], then [SF2] then knob and slider for all zones should be checked.
Press [F1] and alter the transmit channels of Zones 1-8 to MIDI channels 1-8 respectively. Turn on the Ext. Switch all 8 Zones
Store the Master and you should be good to go.
I can't take credit for this solution (thanks to a forum member over at lph.com) and don't have XS to try it on so please do let me know if this works for you.