It is not impossible to get online with a chipped xbox, but it's constantly changing and people claim they got banned while it still works fine for others... so to be safe, it's better to get a separate xbox for playing online indeed.
PES4 is not that good on XBox Live, but I'm quite sure PES5 will be improved. You need a subscription to Live, usually you buy a starter kit so the first year is already paid and you get a headset with it. However, to verify your account, you still need a valid credit card (or a working debit card).