Early-type stars are well-known to be sources of soft X-rays. However, this high-energy emission can be supplemented by bright and hard X-rays when magnetically confined winds are present. In an attempt to clarify the systematics of the observed X-ray properties of this phenomenon, a large series of Chandra and XMM observations was analyzed, over 100 exposures of 60% of the known magnetic massive stars listed recently by Petit et al. (2013). It is found that the X-ray luminosity is strongly correlated with mass-loss rate, in agreement with predictions of magnetically confined wind models, though the predictions of higher temperature are not always verified. We also investigated the behaviour of other X-ray properties (absorption, variability), yielding additional constraints on models. This work not only advances our knowledge of the X-ray emission of massive stars, but also suggests new observational and theoretical avenues to further explore magnetically confined winds.