you have to be a bit more curious and try things
SELECT *
FROM OPENROWSET (BULK 'C:\XML\Products.xml' , SINGLE_BLOB) AS XMLDATA
gives you
0x3C3F786D6C2076657273696F6E3D22312E302220656E636F64696E673D225.....
hence it cannot insert that into an xml column data
so you have to convert it to xml
EXEC ('
INSERT INTO XmlImportTest(xmlFileName, xml_data)
SELECT ''' + @xmlFileName + ''', xmlData
FROM
(
SELECT CONVERT (XML, BulkColumn,2)
--SELECT * --@xml = CONVERT(XML,XMLDATA,2)
FROM OPENROWSET (BULK ''' + @xmlFileName + ''' , SINGLE_BLOB) AS XMLDATA
) AS FileImport (XMLDATA)
')