No - nothing is wrong. Explore works with many devices to relay information direct from the app to the device in question.
The XT isn't one of those devices. In other words, the Explore app on your phone cannot connect directly with your XT.
But the Explore App will still do what you want it to do, because it can still store data on the Garmin Explore website.
You have to wait a tad longer because the app needs to synchronise with the web server, and then the Xt needs to synchronise.
But normally, that is pretty rapid. Not instant, but a few seconds.
So:
The data goes from your phone over the internet to the web-server.
The Garmin drive app on your phone then picks up the data from the webserver
It then sends it by Bluetooth to the XT.
So it still works very well, and once drive is installed and working, nothing else needs to be done.
The data just takes a longer route to get to where it needs to be.
Now where have I heard that phrase before ?