How does coordinator XBee receive data from router?
When you have one working as AT mode, it puts out whatever comes in, it is also called transparent mode. 

You should first define which mode you want to use them and start coding.

If you choose AT, load the firmware for both and use Arduino to check the commands and execute tasks (supposing it is connected to the router).

If the task was done correctly, you send an okay message, otherwise, send error. This is a simple task in AT mode, just use Serial:

if (led == 1)
   Serial.println("ok");
else
   Serial.println("error");


If you choose API mode, it is a little bit different, where you have to mount the packet for sending data and put a message inside it. There are some libs out there you can achieve this.

On the other side, the coordinator will receive the message and interpret it.

If it is in AT mode, just read the serial. In API, you have to decode the packet and check the payload field where the data is located.