How do I communicate 4-20mA sensor data to X2E via XBee AIO Adapter? Server uses MODBUS polling.

The X2e does not directly support the Modbus. You are going to need to write a python application in order to make the conversion from our API and the data to a modbus frame and send it to the server.

You might find the following helpful:

http://www.digi.com/wiki/developer/index.php/XBee_Analog_I/O_Adapter

http://www.digi.com/wiki/developer/index.php/Category:Modbus