How does he survive furious zealots wanting to burn the Xenos with their flame weapons?
By being the RT's pet and having a brand that says he is, hanging around the group who protect him socially so that they can throw him at their enemies, and a semi-munchkin build that means anything that would flatten him would kill the rest of the party on it's way to him.
It's probably be more of a challenge if the players started heading deeper into the Imperium but Port Wander so far is as far as they tend to go into Imperial space. He wouldn't be the only one who would have trouble either, other party members include a Tech Priestess who'se so liberal in her worship and views that she almost slips into heretekal thinking, a (kinda) reformed Naval officer who was pressganged into a pirate crew and became a Reaver before escaping, and an Arch Militant who isn't actually an Imperial subject at all but rather the product of an unintentional colony world in the expanse and who has interacted non-violently with multiple xenos races.
What exactly does a Xeno have that's better in combat than an Arch-Miltiant or Explorator (especially later in the game) ?
Later in the game is a bit of a different story but early on they're pretty OP.
1.They're doomed socially and they know it so fellowship becomes a dump stat and the focus narrows toward becoming a combat monster. While everyone else is sidetracked trying to get the skills and charicteristics that will make them capable of winning a campaign the Xenos player just sits there collecting talents that let him rip faces off.
2. Each xenos race has at least one thing that only encourages the combat beastdom.
-Orks have Unnatural Toughness which makes them really unkillable as soon as they can get the characteristic past fifty which isn't hard. Glue some armor craps onto that squid hide or buy a custom fitted set of armor and pretty soon they're mitigating about fifteen incoming damage. Wheich means that alot of weapons like say lasguns CANNOT damage them.
-If Orks are the immovable objects of melee combat then Kroot are the unstoppable forces, as soon as they can get their hands on a power weapon of some sort and get their Strngth to over fifty they'll be one shotting major enemy characters.
-Dark Eldar if built properly will gain temporary fate points left and right so they'll be re-rolling every single failed reaction roll and thereby mitigating the glass part of their glass cannon nature.
That and the characters themselves tend to be extremely one dimensional, one thing I hear alot from people who want to play xenos much like people who like to play the stranger races in other RPGs is they think playing as a human is boring because humans are boring. The reality is that there are three human characters in my game thbat are far more interesting than our Ork is. The guy role plays the Ork well but Orks are dirt simple creatures and playing a stereotype means you don't end up bothing with things like complex backgrounds, complex motivations and individual world views. All of the characters in my game started life as pretty simplistic archetypes or blatant ripoffs of popular characters from other works, a year later and only the Ork still is and almost everyone else's character has grown into a distinct individual personality.