For the immediate future, there's no way to get the XML documentation short of grabbing the Structuremap source and building it yourself.
As for why that's not included with the distribution, I'm not sure. My only guess is that back when xml-based configuration with SM was more prevalent, Jeremy was concerned about confusion between StructureMap.xml the intellisense file, and StructureMap.xml the configuration file.
That's pure speculation however. For the real scoop you'd have to post on the SM-mailing list. Regardless, for the time being, you have to roll your own from the source. I've done this as well for the same reason, and it wasn't too painful.
-Scott
Edit - Instructions for doing this follow.
- Using your favorite SVN client (if you don't have one, I recommend TortoiseSVN) grab the latest from https://structuremap.svn.sourceforge.net/svnroot/structuremap/trunk/ . If you want the same bits that are in 2.5.3, I think you'll want revision 234. Otherwise, just grab the head and build from that. (If you aren't familiar with SVN, find a tutorial that explains what I'm talking about)
- Open up the StructureMap solution in Visual Studio (under the Source subdirectory). Right click the StructureMap project, Go to Properties > Build and ensure the option for XML output documentation is checked.
- Build and enjoy.