Hello, thanks for your interest in Sonar products!
Please check this section of the SonarLint FAQ.
In this particular case, “Disable access to external entities in XML parsing” is raised by rule java:S2755 which should run correctly in SonarLint.
I suggest you have a look at the SonarLint console view (Window > Show View > Console, Open Console > SonarLint Console), enable Verbose Output and Analysis Logs (see FAQ), and re-analyze the file where the issue should appear.
Please note that this rule is sensitive to classpath resolution, so if there is any issue with the project’s classpath in Eclipse, it won’t be detected.