The app is sandboxed. This means the application has been code signed with a set of entitlements. These entitlements are being enforced by Mac OS X. Apple's developer documentation on sandboxing provides more detail.
You can view Xee's sandbox entitlements using the following Terminal.app command:
codesign --display --entitlements - /Applications/Xee.app
Ole Begemann's article, Checking Code Signing and Sandboxing Status in Code, explains more.
Resign or Strip Entitlements
To remove the entitlements, you need to re-code sign the application without entitlements - using
codesign - or entirely strip the code signing from the application.
Ask Xee's Developers
Modifying a Mac application is not recommended. Ask Xee's developers for help on how to work around this behaviour; only they have the appropriate knowledge to solve this problem.
Xee's developers do appear to be aware of the issue:
(Note that the App Store version is sandboxed, while the non-App Store trial and full versions are not sandboxed. If you prefer the safety of the OS X sandbox, you should get the App Store version. However, the sandboxed version needs to ask you for permission for certain operations, and if you find this annoying, you should get the non-App Store version.)
Consider providing feedback to Apple about this limitation and how it limits your workflow. Customer feedback will help shape what Mac App Store apps can and can not do in the future. For now, apps bought through the Apple Mac App Store are limited.