Achieving high-quality wireless interactive Extended Reality (XR) will require multi-gigabit throughput at extremely low latency. The Millimeter-Wave (mmWave) frequency bands, between 24 and 300GHz, can achieve such extreme performance. However, maintaining a consistently high Quality of Experience with highly mobile users is challenging, as mmWave communications are inherently directional. In this work, we present and evaluate an end-to-end approach to such a mmWave-based mobile XR system. We perform a highly realistic simulation of the system, incorporating accurate XR data traffic, detailed mmWave propagation models and actual user motion. We evaluate the impact of the beamforming strategy and frequency on the overall performance. In addition, we provide the first system-level evaluation of the CoVRage algorithm, a proactive and spatially aware user-side beamforming approach designed specifically for highly mobile XR environments.