Can't configure ZigBee SZ05-ADV module with X-CTU and can't use XBee API in Arduino
You cannot use this ZigBee SZ05-ADV with X-CTU since it isn't a Digi product. Take a look at the User Manual which show how to configure your module, but I will try to resume it for you:

You need to connect your computer to this module by serial interface communication (e.g. use Hyper Terminal); Use the following configuration: Baud rate: 38400, Data Bit: 8, parity: NONE, Stop Bit: 1, Flow: NONE.

Once you are connected, it shows the default settings:



So you can "talk" to your module to configure and/or change de PAN ID (option 5).

Please read the complete User Manual for more information.