I think there's a simpler explaination. Since each Xj are identically distributed, each expected value of Xj is Xbar.
Apologies for the delay. Tey are all identical and have the same mean. In addition the sample mean is an unbiased estimator of the mean (See Chapter 10 of CT3) so it will be the same as the mean of any one of the \( X_j 's \)