from the FAQ of the plugin:
Do I have to create a sitemap.xml and sitemap.xml.gz by myself?
Not anymore. Since version 4, these files are dynamically generated. There must be no sitemap.xml or sitemap.xml.gz in your blog directory anymore! The plugin will try to rename them to sitemap.xml.bak if they still exists.
Does this plugin use static files or “I can’t find the sitemap.xml file!”
Not anymore. Since version 4, these files are dynamically generated just like any other WordPress content.