You want to know what I love about the English language? The fact that words have multiple meanings and still make some degree of sense. So, when I say that Xanxus is here because he's never lost, I don't mean in terms of him having won or lost a battle. He's lost several battles. These are battles that he feels are important to him, battles that he stakes his life and existence on. When I say Xanxus is here because he's never lost, I mean that his resolve is so certain and strong that he always knows what he's doing and how he wants to do it. He believes that he will win, that he will achieve what he wants without a doubt. His other option is to die trying but not without taking down every single son of a bitch that stands in his way. Xanxus is a man that knows what he wants ultimately in life. His resolve cannot be broken.
Let's be real here, he grew up believing that he would inherit the most powerful mafia family in the world. He killed his own brothers to get it. He planned an elaborate battle against the last candidate and tried to kill his father twice for the sake of getting what he wanted. We're not talking little schemes either. We're talking the bring everyone down around me type plans that send the entire mafia world into chaos. He's known to be extremely intelligent and capable of getting what he wants. Xanxus is no pushover in terms of sheer strength, either. The only reason Squalo follows him - because Xanxus can beat him. Each Varia member has this immense amount of respect for Xanxus because of his presence; his aura is that of a proud warrior that eliminates everything around him. The Varia are messed up in their own way, I doubt that they would be able to come together otherwise, they all have a common interest in Xanxus. They fight tooth and nail for his goals. Sure he sees them as expendable (especially Squalo), but he also knows that when push comes to shove they will act to his will. He expects them too. He's still moody, he's still a jerk, but in some way, I believe he relies on the Varia members to achieve his goals. They, at the very least, understand what he wants and how to achieve it.
Here's the thing though, when Xanxus wants something that's all he focuses on. He's so used to getting what he wants that when he doesn't get it, he becomes obsessive and bitter. (Or stays obsessive and bitter.) His every waking moment (which is not often as he apparently likes to nap) is spent making a plan and carrying it out. Despite disagreeing with the chosen boss, if it means he gets to be in the strongest family, he'll take it. It still fits with what he wants just not exactly as he wants it. He'll keep trying to find a way to manipulate it into his favor, though. For Xanxus, there's never a missed chance or opportunity. If at first you don't succeed, try and try again. Burn the world down around you, whatever it takes. For me, this is why he can so fiercely oppose the Vongola Tenth one minute and defend him to the death the next. Xanxus gets what Xanxus wants. He's here, because he's never lost.