I have the problem, like many others, of the plugin not creating sitemap.xml (and I've looked in various directories and it's nowhere to be found).
On the WP SEO plugin dashboard in the 'Settings advice' section at the top of the page; the content is a red stripe. No text; just a red stripe. Is this meant to be highliting an error message or does a red stripe denote all's well?
A number of threads on this support forum mention issues relating to sitemap.xml but so far I've not come accross a definitive 'this is where the sitemap.xml file lives', this is what should be added to .htaccess (if it isn't automatically added by the plugin), file & directry permissions, etc.
It would be really useful for many if there was some kind of fault finding / fixing post.