The reason that the mass-124 system has a different set of allowed decays than the mass-125 system has to do with the nucleon pairing force. Basically, nucleons (protons and neutrons) are happier in pairs than they are alone, and like-nucleon pairs are happier than proton-neutron pairs. If the proton and neutron numbers $(Z,N)$ for a nucleus are even-even, that nucleus tends to be more stable than an adjacent even-odd or odd-even nucleus. There are only nine naturally-occurring odd-odd nuclei, and only four of those are actually stable; all the others want to beta-decay to an even-even nucleus with the same mass number.
Here's a plot of the mass excesses (as defined and tabulated here) for some isotopes in this charge and mass region. Think of the mass excess as a more-useful proxy for the nuclear binding energy. To determine the $Q$-value for a beta-emission or electron-capture decay, you can just read the difference in mass excess off of this plot, in energy units. (The $Q$-value for positron emission is reduced by $2m_e c^2 = 1.022\rm\,MeV$ compared to the $Q$-value for election capture, to account for extra electron and positron in the final state.)

You can see that the binding energy (as represented by mass excess) for each element is roughly parabolic: the most stable xenon isotopes are around $A=129$, and the most stable tellurium isotopes are around $A=124$. But each element's mass-excess curve is jagged, as if there are two parabolae overlapping. That's the pairing effect. Xenon and tellurium are even-$Z$ nuclei, so the even-$A$ isotopes are more stable. But iodine is an odd-$Z$ nucleus, so the odd-$A$ (that is, $(Z,N)$ odd-even) isotopes are more stable than the odd-odd isotopes. And you can read off the plot, for example, that the only stable isotope of iodine is I-127: that's the only $A$ where the red curve has the most negative mass excess.
And if you can see that, then you can see why the xenon-125 may single-beta decay, while xenon-124 must double-beta decay.
Xe-125 to I-125 is an even-odd to odd-even decay, which happens to be allowed, and doesn't have much difference in $Q$-value from the highly-suppressed double-beta decay of Xe-125 to Te-125.
However, in the mass-124 system, xenon to iodine would be a decay from even-even to odd-odd, which is always suppressed due to the fact that nucleons prefer same-charge pairs to neutron-proton pairs.
The fact that iodine-124 is more massive than xenon-124, which makes the decay $\rm ^{124}Xe \to{}^{124}I$ completely forbidden rather than just highly suppressed, is more or less a coincidence; but the fact than an even-even to odd-odd decay is suppressed compared to neighboring systems is clearly an effect of the nucleon-nucleon pairing interaction.
Here's another view into the same data set. But rather than grouping the isotopes by their proton number and showing all the mass data on the same scale, here the isotopes are grouped by their mass number. Weak decays will move a nucleus along the solid colored lines towards the minimum of each mass-excess curve. Decays to the left are electron capture and positron emission; decays to the right are $\beta^-$ emission.

Emilio's answer is basically a text description of the orange curve in the top half of the plot, where the even-$A$ isobars live. Your question is why the orange curves in the two plots (mass 124 and mass 125) are different from each other. And the answer is, again, the nucleon pairing interaction. Turning an even-even nucleus into an odd-odd nucleus is expensive in a way that turning an even-odd to an odd-even nucleus is not.
Note from this second plot that $\rm^{126}Xe \to{}^{126}Te$ is also a candidate for double-electron capture, though the lifetime will be longer than the observed $2\epsilon$ decay in the mass-124 system because the $Q$-value isn't as large. In the mass-128 system, the possible double-weak decay is the other way, from tellurium to xenon.