The plot of Xenoblade and 2 connect but not in an important way. Final Fantasy games share themes but the plots don't connect.
That's not entirely true. A few of the "FF" games take place in the same world (Ivalice) and they make vague references to each other. But like the "Xenoblade" games, you don't have to follow any of that to get the story for any one game.
Fred.