Xin Zhao definitely needs armor penetration marks. I would advise armor penetration quintessences as well, but those depend on your playstyle. Remember that his ultimate, and his knock up, are entirely physical damage.
Also, most heroes start with very little armor at the beginning of the game. If you stack armor penetration marks, you will be dealing true damage against a lot of heroes for the first few levels.
The build I use for Xin Zhao eventually has 70 armor penetration with 30 more on Sword of the Divine's active ability.