XNA may be more heavy than ManagedDirectX. It seems that XNA is too heavy on especially XBOX360 that is one of the best features of XNA. I went to Microsoft Gamefest Japan 2007 last year. In the XNA session, the speaker explained problems of JIT compiler and how to optimize code. I was surprised that those Tips were like old time of C. You may read the details of the session from somewhere. Anyway, the current JIT compiler is not good, so Microsoft keeps their efforts to improve the compiler.
Microsoft imagines the future that developers write programs in C# and inline C/C++. The speaker of Microsoft said: old days, we wrote all programs in assembly. Next, we wrote it in C/C++ and inline assembly. And now, we don't use assembly.
However, the reason why we don't use assembly now is that the CPU pipeline of PLAYSTATION3 and XBOX360 is too long, so it's impossible to optimize code in assembly. In a word, the cause is the hardware architecture. So even if we don't use assembly now, we will not always stop using C.
Microsoft admitted that it's impossible to develop retail titles on XBOX360 with C#, because such a title can not pass Microsoft's quality check. We are still on such a stage.