If my investigator is driven insane (a kind of permanent death), and the scenario gives the investigators XP, does my new character start with XP?

I would have assumed not, but in the Unspeakable Oath, one of the resolutions is for the "everyone dies" situation, and it grants the investigators XP.

Is this a misprint? A cruel taunt? Or a gift for the naive fool I am about to play?

We hit the same resolution you did, and had the same question. We recorded the XP on our now-insane investigators, so we could see how much we'd earned over the campaign, and started our new ones at 0. So in effect, we treated it as your cruel taunt

It made the next scenario, Phantom of Truth, harder (and we failed it too), but it's looking like we're coming back for Pallid Mask, though we haven't actually finished it yet. That one is looking good...

This is a quite uncommon case. There are very few scenarios where permanent elimination is possible (except through trauma accumulation):

• The Gathering, if you do really badly (and you get no XP)
• The Devourer Below, at the end of the campaign
• Where Doom Awaits, where it ends the campaign early
• Lost in Time and Space, at the end of the campaign
• The Unspeakable Oath

So this is the first scenario where an investigator can be eliminated in a resolution and still gain XP. The fact that the XP comes after the elimination makes me think the new investigator gains it (you still lose any XP gained in previous scenarios), but it could be a cruel joke, too.

Heh, nice to see I wasn't out of my mind (not that unlikely given the game, and especially with this scenario).