I have a similar problem, a bit perplexing.
I deactivated my old Google sitemaps plugin and opted to use the sitemaps generator from within Joost's WP SEO plugin.
When I log into my FTP client, I cannot find the new sitemap page at mysite.com/sitemap_index.xml. It is not listed in my FTP client's files.
I had deleted my sitemaps from the old Google sitemaps plugin, so my FTP client now shows ZERO sitemaps files.
However, if I type the URL directly into my browser, it shows that the page is there.
If the page is indeed actually there, how come it is not listed on my FTP client, which shows all files stored on my serever?