Hi,
This is what worked for me at the end:
change the last part of that line (starting from awk '{print $1"\t"$2}' > ./DATA.locus_complexity.txt) to
awk '{printf("%s:%d-%s\t%s\n",$1,$2+1,$3,$4);}' > ./DATA.locus_complexity.txt
The first problem is because your targets in BED format(rather than list), so you need to reformat the line.
The second problem is that xhmm would expect targets with starting coordinate lifted by 1, otherwise, it would not recognize it in the next(filtering) step.
That's why the starting coordinate is upgraded by adding 1 to it.
Regards,
Irina