Yes they do. I usually just gentle but firmly pull on the stem/trunk of the Xenia and pull it off the rock. Sometimes if it is established enough the bottom "foot" is thick hard plate like and can be scraped or peeled off. This has to happen quickly before the coral retracts/deflates or slimes up too much.
You can cover any remaining flesh with a little bit of kalk
paste or wait and hope it doesn't grow back.