Yeah, I’d like to know a little more on this as well. I was having a few WMT issues earlier today but they seemed to clear up after adjusting my robot.txt file.
Like you, I wasn’t getting the 404’s I just couldn’t find WHERE the sitemap was located in my files.
It seems like it’s hosted by an independent server. Then again I’ve only been working with this stuff for a little more than a year so I’m not sure about that one. To me, it seems like my sitemap is on my server since the sitemap starts with my domain name.
Where could this sitemap be?