It is not always immediately clear who you're really buying from on Amazon.
Sounds like you have inadvertently bought from one of the "Amazon Marketplace" sellers. Amazon do sell non-book items directly, but they allow Marketplace sellers (i.e. practically anybody) to list items directly alongside regular Amazon items.
When viewing an item, there is a box on the right which has the price of the item and a statement saying who you're buying from or what your buying options are. You need to look for "Dispatched from and sold by Amazon.co.uk" to be absolutely certain that you're buying directly from Amazon.
In my opinion, buying from Marketplace sellers is no different to buying on eBay. Most sellers are reliable and honest, but there are a few who abuse the system.
Amazon have a feedback system where buyers can rate sellers and view previous feedback - is there any previous feedback for this seller?
Would Amazon sell bootleg XP? Absolutely not.
Would an Amazon Marketplace seller sell bootleg XP? An unscrupulous one might.
Amazon have a "safe buying guarantee protection" scheme for buyers. If you were sold counterfeit software, you may be able to claim for a refund from Amazon. I imagine Microsoft will be interested in your CD and the sellers details if they decide that it is counterfeit.
As an aside... to qualify for purchase of an OEM version of XP, the seller should have sold you some hardware. If they didn't, technically, you don't have the right to use the OEM version. You paid about the right price for a genuine OEM XP Professional CD, make sure that is what you got.