This doesn't relate to Xion or Days all that much, but why is it that Roxas doesn't have Sora's memories? Is the time the person spends as a heartless the time during which memories flow into the nobody? I've never understood how this works >.<
Actually, with Memories being that big a deal in Days, and Roxas eventually leaving the Org mostly to find Sora and why he had the Keyblade because he didn't remember it himself, it relates directly to Days. Xion seemingly being the reason why it mattered that much to Roxas makes it relevant to her too XD;;;
AtW explained it in his reports in this manner. Sora, having been a Heartless for such a short time, never managed to 'forget' everything (we know that's what happens to Heartless, they forget their humanity. Sora himself attessed to having forgotten things until Kairi purified him). Arguably, when Kairi purified him, what little did manage to get to Roxas made it back to Sora, hence why Sora seems unaffected by the entier process as far as Sora himself goes.
This whole thing is possible due to the nature of Sora and Roxas's bond.
The Memories playing a part in all of this would also explain the nature of Namine's powers - Sora's Memories played a role in her birth, possibly even what caused her birth (I theorized and still do that the precise moment of her birth wasn't when Kairi's Heart left Sora's Body, but rather when she purified him, thus causing Sora's Memories to "leave" Roxas. We have an imprint [Heart to create a Nobody, but we're using Memories] that leaves a host, thus making for a by product to be created. Being a Nobody's "Nobody", Namine truly is nothing incarnate).