Re-built the kernel with CONFIG_XEN_MCE_LOG=y (only option that was changed) and mcelog now works in a XEN dom0:
Hardware event. This is not a software error.
MCE 0
CPU 0 BANK 8 TSC 101993d1d0f
MISC b12a322000040080 ADDR 160125080
TIME 1426092567 Wed Mar 11 17:49:27 2015
MCG status:
MCi status:
Error overflow
Corrected error
MCi_MISC register valid
MCi_ADDR register valid
MCA: MEMORY CONTROLLER RD_CHANNELunspecified_ERR
Transaction: Memory read error
Memory read ECC error
Memory corrected error count (CORE_ERR_CNT): 2
Memory transaction Tracker ID (RTId): 80
Memory DIMM ID of error: 0
Memory channel ID of error: 1
Memory ECC syndrome: b12a3220
STATUS cc0000800001009f MCGSTATUS 0
MCGCAP 1c09 APICID 0 SOCKETID 0