We do xenografts commercially (http://altogenlabs.com/xenograft-models/) and immunodeficient mice (or at least athymic ones) are a necessity to ensure proper growth curves and substantial results. Immunigenicity studies have been conducted, but the variation is significant and it's a safer bet to use immondeficient mice from the start.
in my experience xenograft and even different mice strain or mouse modified cell for reporter gene expression I have always performed into immunocompromused mice!!!
Alternatively you could use very young host mice not older than one month.
MSCs in undifferentiated condition do not have the MHCtype2 .Also the experess the MHC type one in the minimume level.Besides they can release some soluble factors like PGE2 and IDO which are immunosupressive.So they can be used in this condition.But if they undergo differentiation they express the mentioned markers and can be immunigenic.