Here is my solution.

It generates exact XML like DataSet.WriteXml() does, but includes only visible rows and columns.

Public Class BaseGrid
Inherits UltraWinGrid.UltraGrid

Public Sub WriteXml(XmlPath As String)
Dim tbl As DataTable
Dim nameSpaceTag As String = ""

If TypeOf Me.DataSource Is DataTable Then
tbl = CType(Me.DataSource, DataTable)
ElseIf TypeOf Me.DataSource Is DataSet Then
tbl = CType(Me.DataSource, DataSet).Tables(Me.DataMember)
ElseIf TypeOf Me.DataSource Is BindingSource Then
Dim bs As BindingSource = CType(Me.DataSource, BindingSource)
tbl = CType(bs.DataSource, DataSet).Tables(bs.DataMember)
End If

If tbl Is Nothing Then
Message.Msg(My.Resources.nsGrid_NijeMoguceUtvrditiIzvorPodataka, MsgBoxStyle.OkOnly, MsgBoxType.Warning)
Exit Sub
End If
nameSpaceTag = System.IO.Path.GetFileNameWithoutExtension(tbl.DataSet.Namespace.ToString())

If Me.ActiveRow Is Nothing Then
Message.Msg(My.Resources.nsGrid_NitiJedanRedakNijeOznacen, MsgBoxStyle.OkOnly, MsgBoxType.Warning)
Exit Sub
End If

MainFormDomino.SaveStatus()
MainFormDomino.ShowStatus(My.Resources.ShowStatus_FilterPreparing)

Dim j As Integer = 0
Dim totRows As Integer = Me.Rows.GetFilteredInNonGroupByRows.Length

MainFormDomino.ShowProgress(Decimal.Truncate((j + 1) / totRows * 100))

Dim ms As New System.IO.MemoryStream
Dim Xml As New System.Xml.XmlTextWriter(ms, System.Text.Encoding.UTF8)

' Set writter formatting
With Xml
.Indentation = 1
.Formatting = Formatting.Indented
.IndentChar = ControlChars.Tab
End With

Xml.WriteStartDocument()
Xml.WriteStartElement(nameSpaceTag)

' Write shema
' <xs:schema id="NewDataSet" xmlns="" xmlns:xs="http://www.w3.org/2001/XMLSchema" xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
Xml.WriteStartElement("xs:schema")

Xml.WriteStartAttribute("id")
Xml.WriteValue(nameSpaceTag)
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("xmlns")
Xml.WriteValue("")
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("xmlns:xs")
Xml.WriteValue("http://www.w3.org/2001/XMLSchema")
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("xmlns:msdata")
Xml.WriteValue("urn:schemas-microsoft-com:xml-msdata")
Xml.WriteEndAttribute()

' <xs:element name="NewDataSet" msdata:IsDataSet="true" msdata:UseCurrentLocale="true">
Xml.WriteStartElement("xs:element")

Xml.WriteStartAttribute("name")
Xml.WriteValue(nameSpaceTag)
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("msdata:IsDataSet")
Xml.WriteValue(True)
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("msdata:UseCurrentLocale")
Xml.WriteValue(True)
Xml.WriteEndAttribute()

' <xs:complexType>
Xml.WriteStartElement("xs:complexType")

' <xs:choice minOccurs="0" maxOccurs="unbounded">

Xml.WriteStartElement("xs:choice")

Xml.WriteStartAttribute("minOccurs")
Xml.WriteValue("0")
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("maxOccurs")
Xml.WriteValue("unbounded")
Xml.WriteEndAttribute()

' <xs:element name="Table">

Xml.WriteStartElement("xs:element")

Xml.WriteStartAttribute("name")
Xml.WriteValue("Table")
Xml.WriteEndAttribute()

' <xs:complexType>
Xml.WriteStartElement("xs:complexType")

' <xs:sequence>
Xml.WriteStartElement("xs:sequence")

For Each dc As UltraGridColumn In Me.ActiveRow.Band.Columns

If Not dc.Hidden Then
Dim col As DataColumn = tbl.Columns(dc.Key)

' <xs:element name="PRIORITET" type="xs:int" minOccurs="0" />

Xml.WriteStartElement("xs:element")

Xml.WriteStartAttribute("name")
Xml.WriteValue(col.ColumnName)
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("type")

Select Case col.DataType
Case GetType(String)
Xml.WriteValue("xs:string")
Case GetType(Integer)
Xml.WriteValue("xs:int")
Case GetType(Decimal)
Xml.WriteValue("xs:string")
Case GetType(Boolean)
Xml.WriteValue("xs:string")
Case GetType(DateTime)
Xml.WriteValue("xs:dateTime")

' Unsupported data type (byte etc)
Case Else
Xml.WriteValue("xs:string")
End Select
Xml.WriteEndAttribute()

Xml.WriteStartAttribute("minOccurs")
Xml.WriteValue("0")
Xml.WriteEndAttribute()
Xml.WriteEndElement()
End If
Next

' </xs:sequence>
' </xs:complexType>
' </xs:element>
' </xs:choice>
' </xs:complexType>
' </xs:element>
'</xs:schema>
Xml.WriteEndElement()
Xml.WriteEndElement()
Xml.WriteEndElement()
Xml.WriteEndElement()
Xml.WriteEndElement()
Xml.WriteEndElement()
Xml.WriteEndElement()

' Now Data

For Each dr As UltraGridRow In Me.Rows.GetFilteredInNonGroupByRows

Xml.WriteStartElement(tbl.TableName)

For Each dc As UltraGridColumn In Me.ActiveRow.Band.Columns
If dc.Hidden = False Then
Xml.WriteStartElement(dc.Key)
Dim colType As Type = tbl.Columns(dc.Key).DataType

Select Case colType
Case GetType(String)
Xml.WriteValue(CStr(dr.Cells(dc.Index).Value))
Case GetType(Integer)
Xml.WriteValue(CInt(dr.Cells(dc.Index).Value))
Case GetType(Decimal)
Xml.WriteValue(CDec(dr.Cells(dc.Index).Value))
Case GetType(Boolean)
Xml.WriteValue(CBool(dr.Cells(dc.Index).Value))
Case GetType(DateTime)
Xml.WriteValue(CDate(dr.Cells(dc.Index).Value))

' Unsupported data type (byte etc)
Case Else
Xml.WriteValue("")
End Select

Xml.WriteEndElement()
End If
Next
Xml.WriteEndElement()
Next

' End document
Xml.WriteEndDocument()

Xml.Flush()
ms.Flush()

Dim xmlBytes() As Byte = ms.ToArray()
Dim xmlString As String = System.Text.Encoding.UTF8.GetString(xmlBytes)

Xml.Close()
ms.Close()
ms.Dispose()
ms = Nothing
Xml = Nothing

VFPToolkit.VFPToolkit.strings.StrToFile(xmlString, XmlPath)

MainFormDomino.ShowProgress(0)
MainFormDomino.RestoreStatus()

End Sub
End Class