I’m setting up AppFabric and I’m wondering if using xml (instead of SQL Express) for the “Caching Service Configuration Provider” has any impact on performance or may lead to other problems eventually? To keep dependencies (and things that can go wrong) to a minimum, using a plain xml file seems like a simpler solution.
XML is fine in non-HA scenarios; make sure the share is available to all account contexts on all hosts and you're good to go. Performance is a non-issue -- configuration is only checked/utilized at certain times, like startup, or adding/removing a host. SQL Server configuration is really targeted at higher availability (though itself is subject to crashing the service when SQL Server becomes unavailable, sillily enough.)
Incidentally, disk filestore will almost always be faster than DB access for this sort of work.