I can think of a few reasons:
Check the layer on which the Xref is on and see if the plot symbol is crossed off.
May be the Xref is on the defpoint layer which does not plot
Nested Xref should not be more than two deep, I keep mine one deep.
Since you can do a preview, drawing limits or paper size does not appear to be an issue, however check the path of the Xref's and make sure they are access by your host drawing.
Some colors may not show well, so make sure that the Xref have one the index colors 1 thru 9. Stay away from the higher numbers.