Older tricks for this included StartupItems, which apparently no longer work as of Yosemite, let alone El Capitan.
MacPorts has a really strange solution, but I'm not impressed at all with it.
I see that xymonlaunch has a --no-daemon option, which would allow the sort of behavior that launchd expects. An old post mentions an approach using that:
http://lists.xymon.com/oldarchive/2009/05/msg00244.html
Seems to me that if runclient.sh handled an extra command line option to pass --no-daemon through to the xymonlaunch command line, it would simplify matters somewhat, not requiring people to check that their modified script was updated as needed; all that would be needed extra would be a com.xymon.client.plist file to put in /Library/LaunchDaemons; and that shouldn't vary from one update to the next.
What I'm suggesting should probably work at least as far back as Snow Leopard (OS X 10.6) if not further. I haven't tried it yet, but I'm on my way to doing so.