XMP is not a CPU feature, it is a firmware feature. In particular, it is a feature that allows the firmware to interpret sections of the DRAM SPD beyond the standard JEDEC configuration region and use the data stored within that region to calculate and configure non-standard performance profiles.
By default, x86 firmware will always configure the SDRAM according to JEDEC specifications stored in the SPD (the DIMM's parameter ROM) and the memory controller's parameters. This ensures maximum probability of baseline operation. When JEDEC specifications are adhered to, the probability of the memory not operating at all is minimized; when JEDEC specifications are violated, the probability that the memory will not work, or will not work consistently, rises dramatically.
The capabilities of XMP are limited by the memory controller's capabilities. For example, if the memory controller is physically incapable of being programmed to generate the clock frequency specified by the XMP profile then XMP is worthless. Furthermore, even if the memory controller is capable of being programmed to generate the necessary clock rate there's no guarantee that the memory controller will be able to train the signals, keep jitter in check, properly compensate for signal skew, centre the eye, etc... there are a huge number of things that can go wrong and it only takes one to render everything inoperable.
In addition to being a technical feature, XMP is also an Intel trademark. DIMM vendors that wish to use the XMP trademark must submit their designs for testing and validation by Intel. Intel does perform significant testing to ensure that XMP branded memory is going to work as well as possible when operating outside of JEDEC specifications; however, Intel does not provide a guarantee like they do when the memory is configured within Intel's specifications (which are a platform specific extension of JEDEC's). With that said, many users often take memory even further, often by installing multiple identical sets of DIMMs. Whereas a single set of DIMM's (one DIMM per channel) are tested to work nicely with the XMP profile alone, two sets installed together (two DIMMs per channel) may require additional tweaking above and beyond simply enabling XMP.