I found the answer to my problem.

You have to make the corrections while the FSX sim itself is not running. I thought it would be like panel.cfg and those, where you can modify them, switch aircraft to another, then switch back and see the changes. But no, apparently, Weapons only sources the XML files on startup, and switching aircraft isn't enough to re-source the file.

If you make any changes to the XML files, you have to shut down the sim and restart it all again.

Probably not a problem for most of you, but for me, launching FSX is about a 5 minute affair. So to modify the XML files has taken me most of the evening. Shut down the sim, edit the file, launch the sim again. Oops, made a mistake, shut down the sim, edit the file, launch the sim again. Makes for a long evening, but I guess you have to do what you can. At least I know how it works now.