To add up so we can help someone else...

This is what I really needed for this to work

Set reader = ##class(%XML.Reader).%New()
    Set status = reader.OpenString(messagedata)

    Do reader.Rewind()

    If $$$ISERR(status) {do $System.Status.DisplayError(status)}
    
    // Associate a class name with the XML element name
    Do reader.Correlate("MIU","Message.Request")