xp_cmdshell - takes rights of the SQL Server service. This means that the command is executed as if the SQL Server Service account logged into the server, opened a command prompt and ran the command.
BCP takes the permissions of the logged in user (with NT auth).
So, if this SQL Server service is running under local system this may not run. I'd setup a SQL user and include that in the command, or change the SQL Server service to run under an account.
You can check by logging into the computer as the SQL Server service and running this command.
Steve Jones