What mode are you in Song or Pattern Mode?
We're going to assume Pattern mode.

You must set the Phrase Length *before* you record into a Pattern, this is so that the sequence "knows" when to cycle back to the top. Therefore, to shorten or lengthen the Phrase is not just a simple change one parameter function. You must execute a PATTERN [JOB] to "Split" or "Append" the current Phrase. Split will cut the measure off and make a new phrase or you can discard the excess. Append allows you to copy the data onto the end of the current phrase... you can copy the phrase to itself to make it longer or you can 'append' any other phrase to the end of any other phrase. Or if you want to add blank measures, you can take your original phrase and "Put" it (temporarily) in a blank Song, then immediately "Get" the Phrase from that Song, only to change its length you grab more measures as you may require. Here's how:

If you initially set the Phrase for 16 measures (by the way, the XF will show you the Length of each Phrase you have recorded... from the main [PATTERN] screen:

Press [F4] PATCH
here you can see your User Phrases and the LENGTH of each is shown, and in the upper right corner the SECTION "LENGTH" is shown.

The Section Length ( in the corner) sets how many measures the current Section is set to play before it cycles/loops back to the top.
Each Phrase Length is determined before you record.

Set the Section Length to the number of measure you want ... for this example let's say "24" meaning you want to add 8 measures to the phrase.
This will not change anything quite yet... your 16 measure phrases will now play through 1 full time, and half way through the second time, they will repeat.

Highlight the Track with the Phrase you want lengthen.
Press [JOB]
Press [F4] PHRASE
Select the Job: Put Phrase to Song
The dialog box will already be populated with the Phrase number: "Current Pattern Phrase 001"

And set it to be targeting a blank Song 64, Track 1, and a Measure xxx

If you want to add 8 measures to the beginning set the target Measure as 009
If you want to add 8 measures to the end set the target Measure as 001

Press [ENTER]

Press [EXIT]
Select the Job: Get Phrase from Song
Set the Song 64, Track 1, set the Measure range to 001-024
Target Current Pattern Phrase 001
Press [ENTER]

You have now added 8 empty measures to your original Phrase.
Go to the [F4] PATCH screen to verify your Section Length and your Phrase's new Phrase Length.