Lilypond export in nightly build(s)?

"Can you import XML2ly then put it into Lilypond without Frescobaldi?"

You don't "import XML2ly and then put it into Lilypond". Xml2ly is a program which allows you to import MusicXML files (i.e. notation files saved with a .xml file extension) and it is automatically installed along with Lilypond. In other words, if you have Lilypond installed, you already have xml2ly.

For sure it's possible to use Lilypond (including importing MusicXML files with xml2ly) without Frescobaldi, but in that case you'd need to use it via the command line because Lilypond is a command-line tool only (i.e. it doesn't have a GUI - unless you also install Frescobaldi or one of the other front-end GUI programs mentioned on the lilypond site). If you're happy working in the command line, then of course it's no problem.

Frescobaldi is a separate program (not installed automatically with Lilypond) and offers a sort of GUI front-end for Lilypond. It's really more like a kind of dedicated IDE (Integrated Development Environment) though. Anyway, all this means is that, once Frescobaldi is installed, a MusicXML import option shows up in the menu which, for me at least, just helps to make Lilypond easier to use.

Yes. xml2ly is a command line program. I think the syntax is something like
xml2ly yourfile.xml
Before you run it, change to the directory where your file is located. The output will be a Lilypond .ly file in the same directory. You can edit with Frescobaldi. Or you can use the .ly file however you want.