What I would worry about is carrying freeswimming parasites in with the cheato---not so much the xenia, but cheato is frequently sold simply as a copepod mop, ie, you know you'll get copepods of all sizes with it. Now, granted, ich is smaller, but that maze of tangles is so designed for transporting small animals, I'd worry about it as a vector for ich infestation---one of the rare situations where a non-animal might actually bring it in, because it brings so much water with it.
Re the xenia and the rock, I'd create a pool of fresh, balanced, temp-controlled saltwater, and swish it quickly in there before putting it in the other tank, just to be sure anything in the water didn't transfer with it.
