That's because the portion you're looking at is listed inside the XMX file as a raw data item. Not as an icon or bitmap.
You can still use XN to extract that. Use it's Resource --> Export Resource menu, then saveas to an ICO file. It seems to work fine for me. With these "raw" resources you don't necessarily know in what encoding they are, so you may have to do some trial-n-error with the extensions like BMP/ICO/GIF/etc.