I get the same thing. However, here is my scenario.
I created a custom SharePoint web service that has 4 different methods.
I was able to successfully add them to my data connection and it works fine. However, when I convert these web services in the data connection to a udcx, I get the error: InfoPath cannot use the selected Web service method for receiving data because the method does not provide valid XML data.
Some articles referred to InfoPath 2007 using MSXML Core Services 5.0, which is one version behind the latest. And, there are several restrictions in regard to support for complexTypes.
Any ideas/thoughts?
Steve