Prova ADODB.Stream istället.
Kod:
function saveXmlToFile(xmlDoc, fileName){
var adoStream = Server.CreateObject("ADODB.Stream");
adoStream.Open();
adoStream.Charset = "UTF-8";
adoStream.WriteText(xmlDoc.xml);
adoStream.SaveToFile(Server.MapPath("xml/" + fileName));
adoStream.Close();
}