I've never been able to get this plug in to work. I also get the following message:
# There was a problem writing your sitemap file. Make sure the file exists and is writable. Learn more
# There was a problem writing your zipped sitemap file. Make sure the file exists and is writable. Learn more
I tried all the suggestions in this string and other strings.
I have made both files 777.
I have tried moving both files to the root of my blog, then the root of my website, and a range of other places.
Finally, I deleted the files and made my blog folder 777 as instructed to in the Google Sitemaps FAQ (Sitemap Issues And Errors) page and then tried to generate the sitemap.
None of these efforts worked so I removed the plugin and made my folders secure again as any folder or file set at 777 is a disaster waiting to happen.
If someone comes up with a real solution then I'll reinstall it and try again.