I agree with you on that bytecode languages runs slower than machine code, but do we know how the 360 runs the code? Since the XNA developers are probably quite familiar with the x360's cpu (is it Xerxes or something?) and should be able to optimize it as good as possible.
Another thing, isn't XNA based on DirectX instructions and SDK? In that case there shouldn't be that big difference in performance beetween XNA games/"apps" and retail games.
But I guess we'll have to wait until they implement video playback in the framework, which seems likely, at least if you check their database for feature suggestions:
https://connect.micr...aspx?SiteID=226 (Registration required, search for Xna or something like that)