Igor recently observed that (*) does not hold: the complexity of direct sum of matrices may be smaller than the sum of their complexities.
Take a boolean $n\times n$ matrix $A$ such that $\XOR{A}\sim n^2/2\log n$; by Thm. 2.2, we know that such matrices exist.
Let $M_n$ be the Kronecker product of the identity matrix $I_n$ with $A$, that is, \[ M_1=A\ \ \mbox{ and } \ \ M_{n+1}=\left[\begin{matrix} A & 0 \\ 0 & M_n\end{matrix}\right] \] Held (*), then we would have that $\XOR{M_n}\geq n\cdot \XOR{A}=\Omega(n^3/\log n)$.
But the outputs of an XOR circuit for $y=M_n\cdot x$ are the entries of the product matrix $Y=A\cdot X$, where $X$ is the vector $x$ written as an $n\times n$ matrix. By using the Strassen algorithm, all these entries can be computed over $GF(2)$ using only $O(n^{\omega})$ operations, where $\omega < 2.81$ (actually, $\omega < 2.4$), which is much smaller than $\Omega(n^3/\log n)$, a contradiction.