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The problem with XML files started to happen to me as of Chrome 47.0.2526.80 m. After spending maybe 6 hours trying to turn off every possible security option I tried a different approach.

Ironically, it seems that turning on the Chrome option "Protect you and your device from dangerous sites" removes the message "This type of file can harm your computer. Do you want to keep file.xml anyway?"

I am using 'Ruby' with 'Watir-Webdriver' where the code looks like this:

prefs = {
    'safebrowsing' => {
        'enabled' => true,
    }
}

b = Watir::Browser.new :chrome, :prefs => prefs

Starting the browser like this, with safebrowsing option enabled, downloads the xml files without the message warning. The principle should be the same for Selenium with any programming language.

##### Edited: 13-04-2017

In latest version of Google Chrome the above solution is not enough. Additionally, it is necessary to start the browser with the following switch:

--safebrowsing-disable-download-protection

Now, the code for starting the browser would look something like this:

b = Watir::Browser.new :chrome, :prefs => prefs, :switches => %w[--safebrowsing-disable-download-protection]))

As for Firefox, the op has already answered his own question (Menu - Web Developer - Network or Ctrl + Shift + K - Network or Ctrl + Shift + Q), but I'd like to mention the "app.telemetry Page Speed Monitor" addon, which does not require you to open the web console first. It'll just show the load time in ms in the status bar (it'll even show details when you click it).
https://addons.mozilla.org/en-US/firefox/addon/apptelemetry/
The only downside seems to be the Facebook/Twitter button.

As for Chrome/Chromium, I second Andy Davies' suggestion, the Page load time plugin is awesome, it shows the load time next to the location bar and it also provides details.