I have also had problems with XYZ files not being recognized in gdal. I don't necessarily think that you did anything wrong. GDAL will only open gridded XYZ data files (see here). Ungridded XYZ files need to be handled in some other way. I suspect (but don't know for sure) that what SAGA has exported is an ungridded XYZ format.
In my particular use-case, I had ungridded headerless XYZ files. I worked around the problem by opening the XYZ file in a text editor and adding a header line in the format: x,y,z. I then treated the file as a csv point dataset and used gdal_rasterize to convert to a raster. I had a lot of files so I wrote a little Python script as a batch process. I hope that helps.