The stock PyPI packages do not include Xdmf support. You can use master (or 9.0 once it is out) to build your own wheel with support for whatever modules you like by using the -DVTK_WHEEL_BUILD=ON flag and configuring the modules as you like. Seems I need to write docs for this, but once you set that, build VTK as you would normally (Visual Studio is not supported for this; use the Ninja generator on Windows), and then you can use the setup.py to build your wheel.