I am only guessing here, but in my case, I often sign up at a forum or site using a different email address than what is attached to my Gravatar. Especially with Gmail, I create aliases on the fly (such as, "rudy64+xenforo@.....com") so I can filter and/or keep tabs on the sites I do sign up with.
In fact, that is how I have my XF installation set up. As I'm the site admin, I use my domain's email address rather than the one that is attached to my Gravatar (which is via Gmail).
I'm not saying it should not ask you for your gravatar ID at all, but I think that if Xenforo has managed to find you on gravatar, simply checking the "Use gravatar" option should be sufficient to save the avatar as the gravatar Xenforo found itself.
Maybe what it should do is paste your account address into the box (with a single-click highlight on focus), and give you the option to edit the address if you choose to use another Gravatar account.
I think I may have run into this issue when I had first set up my test XF board when I got the license--I vaguely recall wondering why I didn't have an avatar. But since I was looking into how avatars worked, I blew right past the Gravatar settings and never revisited.
I will say that during my conversion from SMF --> vB --> XF, there was an option somewhere (XF, maybe?) that asked if I wanted to use a member's Gravatar as their avatar by matching on the email address, and a few that had Gravatars were pleasantly surprised to see them when they first logged in to the new XF forum. But, I'm thinking the conversion explicitly set this during conversion.