Attaching an end-effector .stl or .xaml file with a .xacro Industrial Robot and loading on Gazebo via ROS.

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Is it possible to load a .xacro robot and attach an end effector made using a .stl file or a .xaml file?

no, not directly. And .xaml files cannot be used at all I believe.

In a URDF (which a .xacro file in the end is turned in to), you define the kinematic structure of your robot + attach meshes to the link elements which are part of that structure. Those meshes can be .stls (or .dae, or anything supported by Assimp), but they can only be attached to link elements. You cannot just have a mesh element and attach it to the kinematic structure. That's not how URDF works (or: was designed to be used).

So in your case, where you have a .stl, you'd have to create a minimal .xacro which probably defines only a single link, the base_link (this name is arbitrary, you can use whatever you want, but base_link is a good ROS convention to follow). That base_link can then be used to attach your .stl to.

As an example:

<?xml version="1.0"?>
<robot xmlns:xacro="http://wiki.ros.org/xacro">
  <xacro:macro name="my_eef" params="prefix">

    <!-- this EEF model has only a single link: base_link, which is used
         to 'attach' the STL mesh to which fully represents the geometry
         of the real EEF.

         Note the use of both a visual (ie: detailed) quality mesh and
         a collision (ie: coarse) mesh. This is to facilitate tools like
         motion planners, which often use coarse models to speed up mesh
         to mesh collision checking.
    -->
    <link name="${prefix}base_link">
      <visual>
        <origin xyz="0 0 0" rpy="0 0 0"/>
        <geometry>
          <mesh filename="package://my_eef_pkg/meshes/visual/base_link.stl"/>
        </geometry>
        <material name="grey">
          <color rgba="0.2 0.2 0.2 1.0"/>
        </material>
      </visual>
      <collision>
        <origin xyz="0 0 0" rpy="0 0 0"/>
        <geometry>
          <mesh filename="package://my_eef_pkg/meshes/collision/base_link.stl"/>
        </geometry>
      </collision>
    </link>

    <!-- a default tool frame (might be better to broadcast a static TF frame
         for this instead, but this is just an example).

         Note: this follows conventions of industrial robotics, and rotates the
         frame such that Z+ points forward, X+ points up.
    -->
    <link name="${prefix}tool_frame" />
    <joint name="${prefix}base_link-tool_frame" type="fixed">
      <origin xyz="0 0 0" rpy="${pi} ${-pi/2.0} 0" />
      <parent link="${prefix}base_link" />
      <child link="${prefix}tool_frame" />
    </joint>
  </xacro:macro>
</robot>

Put your EEF .xacro in its own package, and now you can follow the tutorial(s) you already linked/found.

Note that this defines a xacro:macro. So you'd have to instantiate it. You cannot use it directly.