I think that E4X is the default for the WebService. E4X isn't exactly a format... it's a language extension added to ECMAScript, just like regular expressions language in many other languages, or LinQ in .NET. Essentially, when you did this:
myDataXML = XML(evt.result); You have already "converted" it to E4X, (the alternative handling of XMLs is the XMLDocument class). XML and XMLList classes allow using E4X expressions on them, XMLDocument doesn't. If you have any specific problem compiling an expression, please post it, so far all that you have posted looks OK.
