Perhaps. Where should it be? (The existing xml and txt files are the examples, though...) Yes, if you haven't created an .xml file, then this is normal. The program wants to try a directory lookup first, and will use the .txt only if that fails. Since it can't do a lookup if the .xml file does not exist, that means it will fall back to the .txt instead. Essentially, it's just telling you why it can't look up the caller name, you can ignore the warning if you like.
I'm not sure what you mean. The "no in.xml file" is a warning, not an error, and since it complains about the .xml file, not the .txt file, the message should appear regardless of what you do with the .txt files. And the warning currently also appears if you try to look up a North American number, so that does not "work without errors" either, but it does work.