Many of the cheaper Intel CPU's don't offer the VT that's required at the CPU level. I believe all 7000 & 5000 series consumer-grade CPU's do NOT have this functionality.
Remember, this is aimed squarely at businesses, not the home/consumer market.
You can still run a Virtual Machine w/o all this "XP Mode stuff" with either Sun's Virtual box (free) or VMWare Workstation (not free) and still run XP on your computer w/o VT on the CPU. You just can't run the "XP Mode" thing from MS.
Really, I wouldn't want to use XP Mode anyway. Virtual PC is horrendously slow with disk I/O. VMWare or VirtualBox are FAR better solutions IMO....