Studio has an XML Parser built in it.

This module is responsible for reading, validating and formatting XML strings when you open it for viewing.

It's a front-end application, not any part of SQL Server.

If you really want to apply formatting to saved files then you need to submit them through such a parser.

But really - there is no benefit in doing that. Wasting your time and system resources.

Extra formatting will only slow down XML processing by machine, and for human eye presentation you may use a dedicated application which will apply desired formatting on fly.