The XML file you originally supplied has multiple syntax errors which prevent Import XML Data Structure by Example from working. You can use an XML validator (there are several online) to pinpoint the errors. Once fixed the relevant structure can be created via import.
XSD files can be imported using the Import WSDL wizard rather than the Import XML Data Structure by Example wizard (the latter treats XSD files as any other XML document, rather than one describing the structure of an XML document).
However, it seems Import WSDL encounters some problem with the specific XSD you provided (despite the fact that an online XSD validator finds no issues with it).We shall look into it, but in the meantime I suggest you proceed with your original sample.
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