To enable pygrub, please go to Advanced --> Append To Xen Config and enter the line:
bootloader = "/usr/bin/pygrub"
Then click Update and reboot VM. Also, change one line in VM's /boot/grub/grub.conf file: root (hd0,0) to root (hd0)
Note. Only for HyperVM ver2.0, pygrub is officially supported in ver2.2.x