@Murph_Map - I have the same question as the OP here:
http://forums.autodesk.com/t5/AutoCAD-Map-3D-General/xref-file-with-FDO/td-p/2360872
My answer to your first question is that I have to scale the entities in the SHP file. The thought here being - drag+drop the SHP into a new empty drawing, save, xref it into another drawing and apply a scale factor to the xref. But as the OP in that thread asked, why do the "MAPBULKFEATURE" objects not show up through an xref?
My guess would be with FDO you are connecting to the data/features and can edit then (most times), change the attributes in the table and geometry live. When you xref a dwg with a FDO connection that live connection is broken or not existing, therefore not displaying the features. With FDO it loads the data upon opening the main dwg, and the only thing saved in the dwg, is the connection/link to the FDO files. Looks like we need the FDO developers to start talking to the Xref developers and active the link.