Okay, so here's the problem - unfortunately, Xd can't handle gradient colors applied to a stroke / border yet. Gradients only work as a fill color. Your circles in Illustrator are paths with a stroke, and the gradient is applied to the stroke, so when you import into Xd, it converts that gradient to a solid color (default is gray).
So if you outline the strokes in Illustrator (Object > Path > Outline Stroke), it will work fine, with the caveat that you won't be able to change the thickness of these circles after that in Xd.