In order to propagate VPNv4 routes between two different Autonomous Systems, Inter-AS option B solution (described in RFC 4364) is usually adopted. This method uses BGP to signal VPN labels between the AS boundary routers and provides greater scalability, because only the BGP RIBs store all the inter-AS VPN routes. Contrary to IOS configuration, on IOS-XR a static route /32 pointing to the eBGP next-hop is needed.

ASR9K  Inter-AS VPN configuration guide CRS Inter-AS VPN configuration guide

The above documentation is valid whereas Loopbacks are used to form the peering. Is common practice in ISPs production to peer on directly connected addresses. In this case, a static route pointing to the exit interface is needed.

router bgp <AS>
 neighbor <address>
  remote-as  <AS number>
  address-family vpnv4 unicast
   route-policy <RPL name> in
   route-policy  <RPL name>  out

router static
 address-family ipv4 unicast
   <next-hop eBGP neighbor address> <exit interface>

Contrary to “mpls bgp forwarding” on IOS interface level, IOS-XR will automatically enable MPLS on the eBGP peer facing interface.