While this might sound a bit odd, XML sitemaps is blank if you have no pages or posts.
I recognise it is not usual to have not even a single page or post and still want a sitemap, but I use Elegant Themes' Convertible theme, which means I have a single landing page generated by the Theme, which is not based on any other post or page.
The work around for this problem is simple - create a dummy page, and disable it from the XML sitemaps under the advanced setting. Voila, I now have a site map listing a single page - my home page in the root directory, and it works perfectly. So this isn't exactly a major problem, but I wanted to let the developers know this is a potential issue, and anyone else struggling with this can use this workaround.
FYI, I'm using WordPress 3.4.2 in Network / Multisite mode, and the latest WordPress SEO plugin, 126.96.36.199