Been playing with this all morning. In order for the sitemap to list a custom taxonomy, the custom taxonomy has to be listed on a page. Let me see if I have it right.
You create a page for the custom taxonomy (I used a template for each custom taxonomy that listed the terms - or taxonomies - inside each custom taxonomy), since the page will get listed in the sidebar, the sitemap generator will pickup the link to that page, and therefore list that as a page.
As a side note, I have custom taxonomies inside my custom taxonomies! If I wanted them to be listed in my sitemap I should make a page for each. I am hoping the search engines get to my custom taxonomies pages and then filter down through each custom taxonomy inside it.
WOW! That was long! You can check out my sitemap to see what I ended up with. I plan on wrtiting a lengthy article about this because it will be used more and more. And guess what! The article will show up on my sitemap!