Why I cannot connect directly Arduino UNO and Xbee S2?
If you want X-CTU to see the Xbee while it's connected to the Arduino, you have to connect the Arduino's reset pin to ground. This bypasses the Arduino's MCU and allows the Arduino to act as a USB to serial adapter. 

Also don't forget to connect the Arduino's Tx to the Xbee's Tx when it's connected like this, and likewise with the 2 Rx's.