Keith is correct, but I did want to add that there are a couple of other items that come with Xanathar's that are accessed slightly differently than the compendium content. The first is the Underworld Speculation adventure. This is a module, and the way to access it is by creating a new game and choosing it as the base module. As such you can't easily add this adventure to your LMoP game without the Pro feature of the Transmogrifier, which you can use to copy everything from one game to another. Second is the Bonus Character Asset Pack, which is art from the book. This should appear in your Art Library in every game you run under Marketplace Purchases -> Xanathar's Guide to Everything (Character Asset Pack). Regarding the other books (Volo's and Mordenkainen), the Roll20 team is working to get those integrated into the Charactermancer, but they do not have support there yet. I would expect it shortly, but there hasn't been an exact time-frame given. The content will appear in your Compendium, it just isn't all drag and drop/Charactermancer enabled yet.