Iterar a través de la variable XML en SQL Server

¿Algo así?

DECLARE @XmlVariable XML = '<parent_node>
                              <category>Low</category>
                              <category>Medium</category>
                              <category>High</category>
                            </parent_node>'

INSERT INTO dbo.YourTargetTable(CategoryColumn)
  SELECT 
     XTbl.Cats.value('.', 'varchar(50)')
  FROM 
     @XmlVariable.nodes('/parent_node/category') AS XTbl(Cats)

Actualización: si debes use el antiguo procedimiento almacenado heredado y no pueda cambiarlo (esa sería mi forma preferida de hacer esto), entonces tendría que hacer el bucle fila por fila (RBAR) usted mismo, p. usando una variable de tabla:

-- declare temporary work table
DECLARE @RbarTable TABLE (CategoryName VARCHAR(50))

-- insert values into temporary work table
INSERT INTO @RbarTable(CategoryName)
  SELECT 
     XTbl.Cats.value('.', 'varchar(50)')
  FROM 
     @XmlVariable.nodes('/parent_node/category') AS XTbl(Cats)

-- declare a single category
DECLARE @CategoryNameToBeInserted VARCHAR(50)

-- get the first category
SELECT TOP 1 @CategoryNameToBeInserted = CategoryName FROM @RbarTable

-- as long as we have data
WHILE @CategoryNameToBeInserted IS NOT NULL
BEGIN
    -- execute your stored procedure here.....    
    EXEC sp_executesql N'dbo.YourStoredProcedure @CategoryName', 
                       N'@CategoryName VARCHAR(50)', 
                       @CategoryName = @CategoryNameToBeInserted

    -- delete the category we just inserted from the temporary work table
    DELETE FROM @RbarTable WHERE CategoryName = @CategoryNameToBeInserted

    -- see if we still have more categories to insert    
    SET @CategoryNameToBeInserted = NULL
    SELECT TOP 1 @CategoryNameToBeInserted = CategoryName FROM @RbarTable ORDER BY CategoryName
END