The .band file from Siesta is not directly readable by xmgrace. You need to modify it somehow. In the siesta package there are some utilities for all these kind of things, inside the Util directory. For this case, you can find the gnubands.f utility interesting.
Gnubands is correct. If you want to use it, you'll need to compile it using whatever Fortran compiler is available on your system, then run it on the .band file. The syntax is described in this example, produced by one of the authors of SIESTA: