Yes, it's a completely separate connection but I doubt it will matter as not sure what "features" you hope to benefit from?
Nearly all of the features and advantages of HTTP/2 are designed to improve performance of many connections to the same domain:
- Proper Multiplexing allows you to make many requests over a single connection while removing the head of line blocking seen under HTTP/1.1.
- Prioritisation looks to ensure the multiplexed connection is used efficiently.
- Header Compression allows similar HTTP Headers to be sent over multiple requests without a performance penalty (e.g. large numbers of cookies being sent with every request).
- Binary format is more a technical change to make writing software that parses HTTP requests (e.g. webservers and web browsers) more robust - especially relevant when multiplexing.
So unless your website is making huge numbers of XMLHttpRequests to the same host those features won't really benefit you that much. The overheads of HTTP/2 coupled with the implementations being fairly new and so probably not 100% optimal yet, will often mean that HTTP/2 could actually be slower for small numbers of requests.
That only leaves Server Push. This can only be sent in response to an original request, so is less beneficial for XMLHttpRequests in most cases. Additionally there seems to be some confusion as to how to handle pushed XMLHttpRequests.