Exactly.
As mentioned in my original posting, I have tried some of these extensions,
and obviously there's some basics I'm missing.
I'm using the <oXygen/> debugger with the a test file:
<?xml version="1.0" encoding="UTF-8"?>
<xsl:transform version="2.0"
        xmlns:xsl="http://www.w3.org/1999/XSL/Transform"
        xmlns:xs="http://www.w3.org/2001/XMLSchema"
        xmlns:fn="http://www.w3.org/2005/xpath-functions"
        xmlns:xdt="http://www.w3.org/2005/xpath-datatypes"
        xmlns:dyn="http://exslt.org/dynamic"
        xmlns:exsl="http://exslt.org/common"
        xmlns:saxon="http://saxon.sf.net"
        extension-element-prefixes="saxon dyn exsl">
  <xsl:template match="/">
        A: <xsl:value-of select="function-available('dyn:evaluate')"/>
        B: <xsl:value-of select="function-available('exsl:node-set')"/>
        C: <xsl:value-of select="function-available('saxon:evaluate')"/>
        D: <xsl:value-of select="function-available('saxon:parse')"/>
  </xsl:template>
</xsl:transform>

Result specifying Saxon processor:
<?xml version="1.0" encoding="UTF-8"?>
        A: false
        B: true
        C: false
        D: false

Result specifying Xalan processor:
<?xml version="1.0" encoding="UTF-8"?>
        A: true
        B: false
        C: false
        D: false

Kind of strange that Saxon does not support the Saxon extensions?
But perhaps this is an <oXygen/> dependant issue, I guess.

cheers
andrew