Hi johanzen. I think I found the answer and unfortunately it is no, it does not work.
Here's what I did, if you can replicate and share your findings, would be good.
a) I setup my cache priming to 15 mins (900 secs) and 20 pages per batch. Set the XML path to the WP SEO sitemap_index.xml
b) I installed StatPress Visitors (http://wordpress.org/extend/plugins/statpress-visitors/)
c) When I go to Visitor Spy I see every 15 mins my server's IP address requesting (i.e. auto caching) ONLY the XML file!!
d) I then changed the XML path in Total Cache to a sub-xml, for example my post tags xml. Now I see my server's IP requesting 20 URLs every 15 mins.. of course only within the xml so only tag pages.
e) To make sure, I reverted to the sitemap_index and sure enough only the xml being requested again every 15 mins.
I think I'll install Google Sitemap just to generate the XML for the cache priming feature.