For some reason this is starting to be a hot topic of conversation. The reason, I believe, is because people are looking at this as having to maintain not one, but two operating systems and to a certain extent they're correct.
As you all know windows XP mode under Windows 7 is a virtualized machine running windows XP obviously on top of Windows 7. Now some people think that a virtualized machine is some sort of secured environment and they could not be further from the truth. Yes there are ways for you secure the virtual machine however those ways are... how shall I say this... for the more advanced user especially when you're dealing with using network configurations localized to the local running virtualized machine. If you have no clue what securing a virtual machine by using a localized network configuration, don't worry about it most people don't do that either however some of us (such as myself) do mess around with the local network settings because we don't want the traffic for the application that we're working with to go outside of the network that we've created. Trust me this is a completely different topic and I will not cover that here.
So with windows XP mode are you actually introducing a security issue onto your machine? I would have to say yes! A lot of people don't seem to realize that windows XP mode running on top of Windows 7 is for all intensive purposes, no different than running Windows XP on your home, work, or laptop computer. The only difference is that windows XP is running in a virtual machine however you are still running a full-blown version of Windows XP.
Now of course if you have a good protocol for security, meaning you have a solid antivirus program, a solid firewall, and you use your systems wisely you are no more vulnerable than you would be at any other time you are using your computer. That said, Microsoft had to find a way for you to move up to a much more robust and secure operating system plus, the hardware manufacturers needed a more robust computing environment to install on their computing equipment this would include laptops, desktops, and possibly even small servers but this it did introduce a problem. Applications that had not been, how shall I say this... brought up to Windows Vista specifications may have some issues running under Windows 7 and on the new hardware, so what was the answer?