If you are hosted on IIS for your wordpress site, you will notice that when you go to your XMP Sitemap Generator for WordPress, you notice a problem reported:
There was a problem writing your sitemap file. Make sure the file exists and is writable.
There was a problem writing your zipped sitemap file. Make sure the file exists and is writable.
This is telling you that the auto update process for the XML Sitemap Generator for WordPress plugin has failed to create the files needed. If you click on the Rebuild the sitemap link it will manually rebuild.
Easy one. On IIS servers, all paths for files require a \ (backslash) where the auto detected path will put a / (forward slash) after the end of the true path and before the sitemap.xml file.
Just update it in the Custom Location to the correct \ and save the changes. This will address the problem.