If the memories were supposed to go anywhere they were supposed top go to Roxas. But nice theory.
They weren't going to Roxas, that was the problem. He didn't receive any memories since Sora regained his form, thus why he didn't know who he was really. He started to remember when he was placed in the fake Twilight Town. When Sora's memories were all being collected and restored fully, which began on the 359th Day...Right after 358/2 Days is suppose to end...Hmmm...*Hint* That's when something with Xion happened and the memories were returned to Sora, instead of flowing out. Makes sense if ya' think about it.
I wouldn't say this is what's "supposed" to happen, if it IS happening. Xion clearly doesn't want it, Namine can't be benefiting from it as it only drains the memories she's trying to restore, and the Organization is only set to lose another member through it. Nobody wants this to happen.
I'm not entirely sure why they would go to Xion--if she's somehow connected to Namine as well as Sora, there may be some reason why it's affecting her--but that DOES make a lot of sense as far as her identity crisis and her conversations with Riku. It would also tie in with her visit to Namine.
Sicne Xion has been stated to have a "special birth" and therefore be a special Nobody, it is possible that she's tied with Namine, Sora or Kairi, or any combination of. If she's tied with Sora, that explains why the memories would go to her. If she's tied with Kairi or Namine, that also explains it as Namine is closely tied to Kairi, plus she's the one reassembling the memories, so that would make it possible as well. And if she's related to Kairi (I know people hate thinking she could be but...Meh.) then since Kairi is so closely tied with Sora's heart, it could still be understandable. I mean...Their hearts have TOUCHED, literally. lol
Also, after watching the scene where DiZ asks Namine if the memory recovery has completely stopped and she says yes and he orders Riku, I can rightfully think that...Riku is going to kill Xion. It was said that she has a tragic but brave fate, so Riku being ordered to get her and do whatever is needed to stop the memories from flowing to her (Possibly killing her.) would definitely be tragic, and brave in the fact that she faced off with Riku. Or, if she gives herself up, that's bravery as well as she gave her life to awaken the Keyblade Master that would end all the darkness and what not. So I'm pretty sure that Xion is going to be having a major fight with Riku, not the one that we've seen already. That one could have happened just because two strong people come to a confrontation and fight. But that fight foreshadowed them fighting again, but to the death.
I think it all ties in nicely. ^_^ I still don't know how she was born, but I believe I've figured out her purpose. ^_^
And like I said, Roxas had no memories of Sora. I believe that's been confirmed. They started to come to him as Sora started to remember them himself, during his last week of life...Oddly after Xion would disappear since we never saw from her in number two. So that explains why the memories wouldn't go to Roxas, thus them going to Xion is even more likely.