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There are calibration files associated with the XMM-ESAS tasks. The bulk of these files have been ported into the standard CCF format and are available via the standard CCF download. These files are required for the processing both spectra and images. For earlier SAS V18 and earlier versions they had to be downloaded separately. For those earlier versions of SAS, the local directory containing the CalDB data was used as an input parameter in many of the tasks, this specification is no longer neccessary.
The CCF files should be downloaded to a dedicated CCF directory on your computer. To do so, move to your CCF directory, whatever name you have given it, and execute
wget -m -nH –cut-dirs=4 -e robots=off -l 2 -np
https://heasarc.gsfc.nasa.gov/FTP/xmm/data/CCF
(all on one line). Note that you can repeat this command in the future and the wget command will retrieve only the files that you are missing, so you won't need to download the entire 
GB to update. Better yet, go to
https://heasarc.gsfc.nasa.gov/docs/xmm/xmmgof_mirror.html
and follow the instructions given there (they tend to change!)
One issue to note about the CCF files: if you download a new batch of CCF files while you are in the middle of your analysis, you will need to repeat the cifbuild command in order to use those new files in that analysis.