Can't install on 10.4.2
It compiles without error, but when I try to install dclXq_D27.bpl, I get the message "Can't load package C:\Program Files\TxQuery\bin\D103Rio\Win32\Debug\dclXq_D27.bpl. The specified module could not be found."
I then changed the paths in dclXq.dproj, Xq.dproj, and XqTests.dproj to use the D104Sydney folder instead of the D103Rio one, and compiled all of TxQuery. I then get the message "Can't load package C:\Program Files\TxQuery\bin\D104Sydney\Win32\Debug\dclXq_D27.bpl. The specified module could not be found." I've checked, and dclXq_D27.bpl exists in the folder.

I had the same issue. What I did to fix was copy the 2 bpl files (dclXq_D27.bpl, Xq_D27.bpl) from
C:\Users\<user>\DelphiComponents\txquery\bin\D104Sydney\Win32\Debug
or wherever you built the bpl files, to
C:\Users\Public\Documents\Embarcadero\Studio\21.0\Bpl
Then in the IDE main menu click "Component" -> "Install Packages..." then browse to
C:\Users\<user>\DelphiComponents\txquery\bin\D104Sydney\Win32\Debug
and select the 2 bpl files and install them.
this works and is needed for Delphi 11 as well.