The issue you are experiencing is a result of the module not supporting this function. To perform Direct DIO line passing, you need to use the 802.15.4 modules instead. Otherwise you need to use over the air commands to adjust a DIO line on the ZB modules.
Tanks for the answer, now i will order some new modem can you tell me what model i have to buy, and the configuration i have done can i use that for the other modem or i that different??
For my EM-406a GPS receiver, it turns out the solution was simpler than I ever imagined. Instead of using the DIO pin, attach it to the RX pin of the Xbee. Not sure why I thought DIO was needed. Perhaps the Arduino connection threw me off.