Greetings Sophie,
I use Xenu to link-check MODX sites all the time with no problem.
After scan completion, but before displaying the report, what is in the status column of Xenu report for the first (probably only, based on what you said) URL in its results list?
Just a guess -- you may have missed something in robots.txt, or the server may be blocking based on Xenu's user agent. Rename the robots.txt for a minute and try Xenu again. If it runs, the cause is in there somewhere.
If not and the results status column shows something like "Forbidden", it is possible that the server is waving Xenu off based on its user agent string. See #20 in Xenu's info page:
http://home.snafu.de/tilman/xenulink.html
If your server is running Apache, one place to look for such blocks is in the .htaccess file; check for entries such as "BrowserMatch" or "BrowserMatchNoCase". If there's nothing like that in there, and you're seeing "Forbidden" on Xenu's scan, you may be bumping up against a Web host placed block of Xenu's user agent. If so, contacting the hosting provider could get you some answers.
Lastly, just for a lark, you may want to aim Xenu's crawl start at pages other than your root (if you've not done that) - it may provide some diagnostic information.