1. Who created Xion? Was it Xemnas or Vexen? And how was she/he/it created?
Vexen was the one that created her, as part of the Replica Program. Once Roxas joined the ranks of the Organization and had a Keyblade, they decided to make the Program bigger for the sake of the Organization. Vexen, needless to say - didn't object.
As to how she was created, don't expect it to be explained beyond this - Vexen made a base, and they then linked it to Sora's (and most likely Riku's) Memories, causing the subject to change its form depending on who looked at it, and what Memories inside it they related to.
2. Why didn't Xemnas tell Xaldin,Lexaeus and Zexion about the Replica Program at first? I mean, they were one of the founding members, but, couldn't he trust them enough or what?
It seems, going by the Secret Reports - that Zexion knew about it. I doubt in fact that save for Axel, there were members in CO that didn't know about it, as that was part of the experiments the lower levels members led, and why Marluxia wanted to raise a munity - he opposed the program.
As for why Xaldin wasn't informed, despite being a founding member... it seems that being a founding member means very little in that aspect as the program was on a need to know basis only.
3.You know the scenes when Xion was at the Island. Was any of those real?
The scene where Xion, Axel and Roxas were sitting on the bent over Paopu Tree was a dream Xion had.
Everything else was real.
Axel at this point knows Xion's a puppet, and Saix knows he knows. So he asked why Axel saved Xion, knowing what it would mean for Roxas.
He then puts an ultimatum - if Axel saves his friendship with Roxas and Xion - which is made belief because they're two Nobodies and a Replica - he'd lose his friendship with Saix, that was in place from before they became Nobodies, as shown by Saix calling Axel by his Somebody's name.
Saix then goes on talking about the Replica Program's status, and how it affects Saix and Axel's plan to apparently overthrow the Org on their own.
5.When Xion dies, she/he/it leaves behind a seashell. What was that about?
Kairi relations. Since she's based on Memories of Kairi inside Sora, and Kairi seems to have had a thing with seashells, she picked them up as well. However, unlike Kairi, it became a true motif for Xion, what with her and Roxas collecting them for each other whenever the other passed out.