Mysql does need some time to take the database dump, it is totally possible that it takes a few minutes or much more, before you get any feedback.
#1 you enter this:
[root@infernaldevelopers ~]# mysqldump -u root -p --single-transaction --skip-lock-tables xenforo > /var/www/html/backups/xenforobackup_$(date +%d.%m.%y).sql
#2 mysql asks you for your password
Enter password:
#3 nothing happens, you do not get a single character back from the system. This step might take a few minutes or half an hour.
#4 after everything is done, mysql gives you a feedback message.
And I totally agree with
@TMC , if everyone can access your database on infernaldevelopers.com/backups/xenforobackup_currentdate.sql you are in huge trouble.