1 & 2. Remember XBee uses 'true' polarity at ~3V so, if you can set the polarity of your USB - serial adaptor and it is sensitive enough then maybe fine. I can't say deffo as I don't your USB adaptor in my hot sweaty hands
I have been lent (by CISECO) a USB board, which is a USB-serial chip plus an XBee connector. Works a treat.
A standard serial would require a MAX232 or another inverting / level-shifting circuit I believe.
3. If you can set
any microcontroller to 9600 true polarity then you can potentially talk to XBee. That is precisely one of the good points about XBee... ease.
4.Could you suffer data loss at 9600?
Of course you could, but it is in 'your hands'.
If you send a data block (or 'packet') holding 50 bytes from your PC ,via XBee to PICAXE and just use soft Serin then yes.
If you use the Hser.. hardware serial (background receive) then you should be OK if you can write the code.
If you just send a few bytes then you may get away with a soft serial Serin - especially if you use a crystal on the PICAXE.
I have had no problems whatsoever using soft serial on a PIC reading 20 byte packets from an XBee at the 'out of the box' specs.
I have had no problems sending AT setup commands (and receiving the acknowledgements) to XBee using soft serial.
In my case it took a while to get it going as it wasn't PICAXE BASIC, but the bit-bang principle is the same.
PITFALLS? The only one I can think of is the need for greater timing precision. Hence my recommendation for using a crystal if you intend soft serial. 9600 isn't exactly super-fast, but requires greater accuracy than slower bauds.
And, (whilst unlikely but still possible) duff PCB design can introduce nasty LCRs into the signal line and may distort the pulse -esp leading and trailing pulse edges. At faster baud rates any distortion will be a bigger fraction of the pulse and increase likliehood of foul up.
Obviously you will be able to see this with your Tektronix. But, usually, you'll have no problems.