Using File > New > All, notice that most of the items are greyed out. This UI is inherited by 4.0 due to re-basing on JDeveloper 12.1 IDE framework, and the XML types (not shown in 3.2) are listed there now. Not sure if some or all greyed out items will be enabled eventually or just removed.
Anyway, in the Connections view, specifically under Oracle connection nodes, you will find nodes for XML Schema and XML DB Repository. Perhaps the New XML Schema item is what you are looking for.
SQL Developer Team
The FIle/New and then xml type is to create an xml file based on an schema definition (xsd file say). If you enter such a schema definition on that page you will see the other buttons are available. To create any xml file use File/Open and enter the new name, you will be prompted on whether to create that file or not.