Yes ... you'll need both the XA-1 and XA-2 adapters with a AFII Mk1 and MFC MkII
As for short ethernet/ethercon cables ...... not sure where best to source them .... but there are plenty of results coming up on Google for RJ45 ->RJ45 ethernet patch cables.
You can convert one end of the RJ45 cables to ethercon by getting a couple of housings like in link
here
I would suggest permanently mounting the XA-2 on a pedalboard beside the MFC then even a normal short rj45 - rj45 Cat5 or Cat6 patch cable would do the job.
Then you can leave the ethernet cable permanently plugged into the MFC expansion port then you'll not be putting undue wear and tear on the port socket. Ethernet ports are not the most robust things and generally have a longer lifespan when you don't keep inserting/removing the cable.
The same goes on the other end - I would suggest that, if at all possible, you mount the XA-1 permanently in your rack somewhere and leave it's ethernet cable 'tail' permanently plugged into the Axe-FX 'MFC' port.