YouTo make this work, you need to specify the format. There is no "XMLObject" format. "XMLObject" is an import element for the "HTML" and "XML" (and perhaps some other) formats.
If Thus when you do notonly specify a format"XMLObject", it will beMathematica is still trying to auto-detecteddetect the format. Auto-detection often goes wrong In this case, it will try to import the file as the Graph6 format, which won't work for a HTML document.
UseSpecify the format explicitly as "HTML" and also specify the import element, i.e. that you want the result as an "XMLObjct".
Import["http://pubsonline.informs.org/doi/abs/10.1287/mksc.14.3.G6", {"HTML", "XMLObject"}]
ThisNote that this is exactly the same mistake as using Import["somefile", "Data"], which is unfortunately all too commonly seen on this site. "Data" isn't a format either, and when you use it, you are betting on the success of format detection.