Make sure to flash the Chip with the ZigBee Firmware.
Then use XCTU or the AT Commands directly to set the following values :
ZigBee Stack : ZS = 0x02
API Enable : AP = 0x01
API Mode : AO = 0x03
Encryption Enabled : EE = 0x01
Encryption Options : EO = 0x02
Network Key : KY = 0x5A6967426565416C6C69616E63653039
If your chip is going to act as the Network coordinator then you also ned to set :
Coordinator Enabled : CE = 0x01
If you're using the AT command to setup the modem directly, remember to issue an `WR` command to make the changes persistent.