This problem happens with 64-bit Windows and 64-bit TortoiseHg. 64-bit shell extensions will not work with 32-bit applications. Now, Xplorer2 Lite ships only as a 32-bit executable and thus TortoiseHg (which is a shell extension) icon overlays and menus will not appear with the 32-bit Xplorer2 Lite.
However, the 64-bit TortoiseHg installer does include a 32-bit extension. Download the latest 64-bit TortoiseHg and during installation choose the x86 option (it is unchecked by default) along with the 64-bit extension and both will be installed. Now, both 32-bit programs (like Xplorer2 Lite) and 64-bit programs (like Windows Explorer) will display the TortoiseHg icon overlays and menus.
Tried with: Xplorer2 Lite 188.8.131.52 and TortoiseHg 2.1.2