It's hit and miss, at least at BOM. At the exit screening - when you are leaving the baggage collection area, usually the staff on duty adopt the rule of thumb of screening all smaller bags that look like carry-on bags, and skipping the larger ones (which presumably were screened separately). But this means that many bags that are small but were marked 'X' with chalk are screened, and others that are not marked are also screened, and some bags marked 'X' are not screened as well. So it's unclear what is really going on. Many times, the bags that someone is taking along with them on a trolley are oriented so the 'X' is visible from the rear, but the staff make no attempt to check it, going solely by size of the bag to ask for it to be put on the belt of the screening machine.

I have never seen the bags marked 'X' being asked to be opened for physical inspection.

It's possible the inspection or additional scrutiny of bags marked 'X' happens earlier at the point of bag collection and the secondary screening on exit is therefore independent of the 'X' marks. I've never had a checked bag with an 'X' (actually most times I don't have any checked bags at all) so I can't confirm this.