Why does LINQ to XML not escape characters like '\x1A'?

I get exception if in XElement's content I include characters such as '\x1A', '\x1B', '\x1C', '\x1D', '\x1E' or '\x1F'.

using System;
using System.Collections.Generic;
using System.Xml.Linq;

namespace LINQtoXMLInvalidChars
{
    class Program
    {
        private static readonly IReadOnlyCollection<char> InvalidCharactersInXml = new List<char>
        {
            '<',
            '>',
            '&',
            '\'',
            '\"',
            '\x1A',
            '\x1B',
            '\x1C',
            '\x1D',
            '\x1E',
            '\x1F'
        };

        static void Main()
        {
            foreach (var c in InvalidCharactersInXml)
            {
                var xEl = new XElement("tag", "Character: " + c);
                var xDoc = new XDocument(new XDeclaration("1.0", "utf-8", null), xEl);

                try
                {
                    Console.Write("Writing " + c + ": ");
                    Console.WriteLine(xDoc);
                }
                catch (Exception e)
                {
                    Console.WriteLine("Oops.    " + e.Message);
                }
            }

            Console.ReadKey();
        }
    }
}

In an answer from Jon Skeet to the question String escape into XML I read

You set the text in a node, and it will automatically escape anything it needs to.

So now I'm confused. Do I misunderstand something?

Some background information: The string content of the XElement comes from the end user. I see two options for making my application robust: 1) to Base-64 encode the string before passing it in to XElement 2) to narrow the accepted set of characters to e.g. alphanumeric characters.