Little stuff like that are things I've had to adjust to, coming over from Linux to OS X. Since X11 isn't the main windowing system on OS X (and isn't installed by default), they don't set the DISPLAY variable, don't have X11 forwarding turned on in SSH by default, etc. I'd also forgotten that launching X11 launches an instance of xterm - I'd disabled that since I prefer iTerm or even Terminal over xterm.
These are small annoyances, but it makes perfect sense given the circumstances - and they are easy to remedy.
I think you'll find that Terminal.app and xterm aren't using "differing associated files" (to borrow your phrase). What's happening is this: When you launch X11.app, it sets the environment variable DISPLAY. Then when xterm launches from X11.app, it also has DISPLAY set since it inherits its environment from its parent (X11.app). Terminal.app just doesn't have DISPLAY set by default.
You can check if DISPLAY is set by typing "echo $DISPLAY" at the command prompt. If it's not set you'll just get a blank line in response. Setting it to the right value is just a matter of typing the line in that I'd put in my previous post, or adding that to a file such as .bashrc in your home directory. The weird stuff at the end of that line (":0.0") tells X11 to use the main display on your local computer. It probably seems unnecessary that you have to actually say "use my main display", but X11 was designed as a network-accessible windowing system; theoretically you can set DISPLAY to point to a different machine's monitor screen or other output device just by changing those numbers - however I guarantee that won't work for various reasons, mostly having to do with security (I imagine that's pretty much self-evident).
