Unfortunately this is the case. When using the Xena HS with the native SDI support in Adobe Premiere Pro, Embedded SDI audio I/O is not available. Adobe was not able to add embedded audio support to their plug-ins.
The Xena LS, LH, and 2K however will all support embedded SDI Audio. These boards have AJA supplied Premiere Pro plugins which support the capture, and output of SDI embedded audio.