wpseo v 1.2.5
When the option "Include in sitemap?" is set to "Auto-Detect", the results are inconsistent. With my custom taxonomy, it included some of the terms, and left out others (even the most used one).
What's more, it seems like this function can leave out all of the terms and create 404s. The sitemap for a specific taxonomy is still included in the sitemap_index.xml, but when you click on it, you get a 404, as a sitemap without any terms is not even generated (assumption on my part).
After i changed all of my terms to "Always include", they were indeed included in my sitemaps, and the 404s (and the HTML warnings in GWT) all disappeared.
So, I think it would be necessary to include a check that completely leaves out subsitemaps from the general index, when all of the terms/posts/pages have been excluded.
Hope this helps,