I'm not sure what DX actually stands for, but what it does is to automatically set the film speed on the camera. On the side of the film cannister there are a series of black and silver squares; these line up with a row of contact inside the film chamber of the camera. These contacts read the black and silver squares and depending on how the squares are arranged the camera can determine the film speed. Different patterns mean different film speed.
I think some models of XA3 and XA4 had DX, but apart from automatically setting the film speed it doesn't do anything else.
To be honest I regard DX as being a bit of a gimmick; a film speed only needs to be adjusted once every film reload, or not at all if you reload using the same speed film. After all it's not like setting a film speed is the most difficult thing in the world!
A film speed is a measure of how sensitive the film is to light; the higher the speed the more sensitive the film. Just make sure you camera is set to whatever the ISO number says on the film and you'll be ok