There indeed seems to be a problem with the use of "spies" under XeLaTeX. Consider the following MWE, which is a stripped-down version of the answer referred to by the OP:
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{spy}
\pagestyle{empty}
\begin{document}
\begin{figure}
\begin{tikzpicture}
[spy using outlines={circle, magnification=4,
size=1cm, connect spies}]
\draw[help lines] (0,0) grid (2,2);
\draw[red] (0,0) -- (1,1);
\spy [blue] on (1,1) in node at (1.75,2.75);
\end{tikzpicture}
\end{figure}
\end{document}
When compiled under pdflatex, the following figure results:

In contrast, when the same program is compiled under XeLaTeX, one gets:

I.e., both the "cross-hairs" and the red line that terminates in the middle of the "target" aren't shown inside the spy-circle. :-(
\usepackage{fontspec}, compile it under xelatex without error warning, but the magnification circle appears almost empty, only with a vertical. I think the vertical is a grid line. – Pig Cry Nov 01 '11 at 09:01\spy [blue] on (1,1) in node at (1.75,2.75);), we can see some content appear. – Olivier Drolet Nov 03 '11 at 15:59\spywith the following:\spy [blue] on (-1,5) in node at (8,8);This should highlight the off-centeredness I'm referring to. – Olivier Drolet Nov 23 '11 at 19:32