The SDK package does not include MSXML itself. "Interop.MSXML2.dll" is just an auto-generated wrapper for accessing MSXML from .NET code. If Nessus is flagging MSXML, then it is either a false positive or a copy of MSXML that came from somewhere else.
You make a good point about the SDK download link being somewhat buried. The "official" location for it is this post: Orion SDK Information. We've just been updating that same post for years whenever we put out a new SDK build. But it would be better to have a real page for it that is not a forum post. I'll look into it.