Any particular reason not to allow the XDP prog being set while the
device is closed?  You seem to preserve the program across
close()/open() cycles so the edev->xdp_prog is alive and valid while
device is closed IIUC.  

I think other drivers are allowing setting XDP while closed and it
would be cool to keep the behaviour identical across drivers :)

You're right; No reason to prevent this.
I'll fix it in v2.