Hi, there are no XML files created. The responses are dynamic, just like all other feeds, archives, posts and pages in WordPress. You will (or should) not find any static xml files via FTP or hosting provider file browser.
So the XML files are dynamic and populated when you load each is requested? Are they cached? Just trying to understand how this plugin works?
The plugin uses the internal WordPress caching mechanism (allowing object caching) and parts of the post/page data is actively cached (as metadata) but not the xml output itself. If you wish to have the output cached, you can use any of the usual caching plugins. Just make sure the .xml file extension is not excluded in the cache plugin settings 🙂
Only the news sitemap is actively excluded from being cached with the DONOTCACHEPAGE constant, although I’m not sure all cache plugins respect it.