Either cannot find device or firmware - XTCU.

I have the following setup:

Xbee is connected to the Serial Port of the base shield.

I downloaded the XCTU, but it was not able to discover any module. Only once it discovered a module but then could not find any firmware. Then when I rerun the discovery, I got nothing. Both tried it on Windows and Linux.

What should I do to debug? Is my setup alright to program this module?

These boards are not designed to connect the XBee to a PC. They are only designed to connect an XBee to an Arduino. You will need something like the XBIB-U-DEV board to connect the XBee to the PC.

So there is no way to upgrade its firmware via those boards but I can program it without upgrading the firmware via Arduino?

That is correct.

Thank you. Last two questions then:

1 - When I send “+++” to Zigbee I get “OK” which means it is AT command mode. However it stays for a very short time there? How can I permanently set it in AT mode, because that is my only option with this setup?

That is correct. It will only remain in command mode till the Command Mode Timeout is reached of inactivity or the CN command is issued.

No, there is no way to Always be in AT command mode. The radio is not intended to be always in command mode. It is intended to be in a transparent or API mode being able to send or receive data.