Artboards are not rounded. You can somewhat fake it by creating either black or white masks.
What is the goal for you to make rounded artboard in Adobe Xd? If you are going to make prototype for mobile or web application your artboard looks like whole web page. May be you want to create round style design?
Or, sometimes we just feel compelled to make app icons perfectly at the exact size that won't end up getting cropped/resized.
I looked it up because I wanted to make a rounded edge pop up that scrolls with text as an overlay artboard. But if the artboard is not the same rounded edge as my mask layer while scrolling the edges are sharp again. Just a small thing, but it could be useful.
Thank you for sharing your feedback. In addition to what our experts Monika and Ares have suggested, you may also submit your feedback here: Custom artboard shapes – Adobe XD Feedback : Feature Requests & Bugs and upvote this request to add your voice and let us know if that helps.