Which are the Windows Service dependencies for XDataServer if it's running as a Service Application?

Good question. I never thought about it that way.

Having said that, I have an XData test server running as a service on a server without declaring dependencies and all runs OK; also after rebooting (ref. Example framework for XData with Sphinx authentication and authorization).

Of course your DB server will be an important service to consider (check) as well.

Hope this helps!