Again, the plugin does NOT create a file. It creates a feed. And it needs WordPress to name that feed. If you use the default permalink structure, all feeds are named like /?feed=xxx... So your RSS feed is /?feed=rss and your Atom feed is /?feed=atom and (when using my plugin) your Sitemap feed is /?feed=sitemap. But if you switch to any other permalink structure, WordPress will be able to name feeds more 'nicely' like /feed/ or (when using my plugin) /sitemap.xml
Also, when using any other permalink structure, WordPress will create a /robots.txt automatically (and again, this is NOT an actual file!) which will reference the sitemap so search engines can find it without guess work.
What's wrong with the default link structure? Why would I need to change?
That's a good question to which many people have much to say. Search engine optimization being one of the more prominent reasons among them. And since you are using a XML Sitemap, you would be interested in that aspect: it is said to help search engines better rank your posts since the title appears in the URL.