what do you mean by X is the Rayleigh distributed signal ?
From my point of view, X is a complex Gaussian (Normally) variable, and then |X| is Rayleigh distributed. However, is X a signal or a channel ?
If X is a signal, and if X is an ergodic process, then E{|X|^2} is indeed the power of X.
If X is a channel, then it is preferable not to use the term "power", but gain instead (a power has a unit of measurement, not the gain). Or, in order to avoid any misunderstanding, if X is zero-mean, then E{|X|^2} is the variance of the channel.