WordPress.org

Can I change the sitemap name/URL?

No. The sitemap was defined as sitemap.xml. Your sitemap url should be http://yourblogurl.com/sitemap.xml

I found no sitemap file in my blog?

The sitemap is generate when it need. No file created.

Where can I custom the xml output?

You may custom the XML output with feed-sitemap.php.

Do I need change my robots.txt?

No. It's will add your sitemap url into your robots.txt when plugin actived.