Am I supposed to put the xmltv.xml file somewhere or tell TVH server where it is?
Not that I'm aware of. If I recall correctly this is the message text seen from the first time running the "Re-run Internal EPG Grabbers".
The process to set up sd4tvh is a tad confusing because it requires running the "Re-run Internal EPG Grabbers" two times.
Perhaps you missed a step?
After the first run, go again to the "Configuration -> Channel / EPG -> Channels" tab and this time set an "EPG source" for each channel. On a subsequent run of "Re-run Internal EPG Grabbers" the show listings should be loaded.
EDIT:
You might ssh to your kodi box and check ~/.kodi/userdata/addon_data/script.module.sd4tvh/sd4tvh.log for more details.