On the basis that one cannot change the RF data rate, and that the host CPU has to handle the serial data coming from the Zigbee - it makes sense to impliment a buffer on the host - but if the hosts baud rate is less than that of the RF data rate there is still a possibility that the XBEE internal buffer will overflow.
Running the host at 115.2k bps may not always be possible
What is the actual Tx buffer size in the XBEE module?