some quick answers that will hopefully get you a step forward:
a) for xva simulation you should use
for the swaption volatilities, since the cross asset scenario generator does not generate scenarios for the swaption volatilities.
b) this message
Failed to price trade CMS_Swap : BlackVanillaOptionPricer: zero-shift lognormal volatility required
means that you try to use a “Hagan” Model for CMS, which only work for unshifted lognormal volatilities; if you switch to “LinearTSR”, all volatility variants should work
did not find object EUR of type swaption curve under configuration collateral_eur
=> do you have the EUR swaption vols included in the simulation market configuration (under Market / SwaptionVolatilities)?
did not find object EUR-EURIBOR-3M of type ibor index under configuration default
=> likewise, do you have the index in simulation.xml (under Market / Indices)?