In Web Core library path options (Web Core, not Delphi) you should have the path where XData.Web.Client.pas unit is located.
Note that there are two XData.Web.Client.pas files, one in <xdata>\source\core, the other in <xdata>\source\core\web. It's the latter one that should be in Web Core library path, the former should be in regular Delphi library path.
However, Smart Setup should properly set such paths accordingly. Can you please uninstall XData, check the library path values (for both Delphi and Web Core), reinstall again, and then check if the paths were added to both configurations.
Then check if the compilation is working. If still failing, please send detailed information about the procedure described and also please send the logs.zip file.