The text of the card says:

After you play Xaro Xoan Daxos from your hand, choose and return a character you control to its owner's hand.

My question is:

Can he be played from hand when there are no other characters in play that I control (I mean: is it necessary to have those characters in play before I can play him from my hand or when I don't have those characters, his effect doesn't occur)?

You can play him when there are no chars on the table but then his ability kick in and you have to return a char to your hand and since he is the only char you control you have to return him to your hand. Congratulations you just spent 3 gold for nothing

Actually, if Daenary's Bed Chambers is on the board, it can be used to return attachments to your hand. In fact, I plan to include one copy of him in my burn deck specifically for this purpose.

Otherwise, yes, it's a pretty dumb play.