You don't get $x_0^2 = \pm 1$. What you get is $x_0^2=1$ hence $x_0 = \pm 1$. This shows that if $(x_0,y_0) \in X$ then either $x_0=1$ or $x_0=-1$. In each case, the equation
$$
x_0^2+y_0^2=1
$$
becomes, substituting $\pm 1$ in place of $x_0$,
$$
y_0^2=0
$$
hence $y_0=0$. What this means is that if $(x_0,y_0) \in X$ then you have two options, two possible choices: either $x_0=1$ and $y_0=0$ or $x_0=-1$ and $y_0=0$. So $X \subseteq \{(1,0),(-1,0)\}$.
Now, in order to show that $X$ is actually equal to $\{(1,0),(-1,0)\}$, all you have to do is check that $(1,0)$ and $(-1,0)$ are indeed solutions to the problem. That is readily verified.
Note 1: You have to be careful about implications. For example, if I ask you to find the solution(s) of
$$
a+1=2 \tag{$\star$}
$$
you could proceed like this (just for the sake of illustrating what I mean).
Suppose that $a+1=2$. Then it must be the case that $(a+1)^2=2^2$, that is, $a^2+2a-3=0$. We can solve this quadratic equation:
$$
a = \frac{-(2)\pm\sqrt{2^2-4(1)(-3)}}{2(1)} = 1 \text{ or }-3
$$
Hence you would have shown, by this argument, that if $a$ is a solution of $(\star)$ then it must either be $1$ or $-3$. But! You have not shown that both $1$ and $-3$ are solutions of $(\star)$ because you did not have equivalences throughout your argument (more precisely $a+1=2 \Rightarrow (a+1)^2=2^2$ but $(a+1)^2=2^2 \nRightarrow a+1=2$). In fact, $-3$ is not a solution of $(\star)$. But $1$ is one because $1+1=2$.
Note 2: In the case of your problem, you correctly argumented that if
\begin{align}
x_0^2+y_0^2=1 \tag{1}\\
x_0^2-y_0^2=1 \tag{2}
\end{align}
then by adding both equations it must be the case that
$$
x_0^2=1 \tag{3}
$$
In other words, you showed that if $(x_0,y_0)$ satisfies $(1)$ and $(2)$, then it satisfies $(3)$. But the converse is not true! If $(x_0,y_0)$ satisfies $(3)$ then it must not be the case that it satisfies $(1)$ and $(2)$. Indeed, $(1,1)$ is a counterexample. However it is the case that $(x_0,y_0)$ satisfies $(1)$ and $(2)$ if and only if it satisfies
$$
x_0^2=1\\
y_0^2=0
$$