The problem with XENTRY is common if your VCI can only work with CAN or DOIP. To access the MBUX advanced diagnostics in XENTRY, you will need a VCI that can work with both CAN and DOIP, while the MBUX unit supports DOIP.
You will need to enter the anti-theft PIN code. If you do this with XENTRY, you will need to reflash the entire head unit (if an update is available online), but otherwise you will be able to activate it in DTS Monaco without reflashing the device.