Dynatrace would only be able to correlate XHR actions with the distributed tracing if the web or app server is monitored by OneAgents. In other words, distributed tracing would be captured if you have OneAgent monitoring and capturing the code-level information. Here is a document that can share some more details:
Try to validate if the application requests are captured under services? That would share with you the details of some Distributed trace level information that is triggered by the application.
If they are missing, then Dynatrace would not be able to like the XHR actions with the services that are triggered by the JMeter load test. Here is the document which will share more details to link cross origin XHR actions with the traces: