Thanks. That added it. I saw that the conf file was 644, so I changed to 666 (security risk?) and it can write from the control panel, so it is a permissions issue. I'm guessing that the conf file should not be 666.
Also, after adding the compress option, it automatically added this error message, but there are no files:
An error occured
Sitemap file is not writable: /var/www/vhosts/xxxx/httpdocs/sitemap.xml.gz
Sitemap file is not writable: /var/www/vhosts/xxxx/httpdocs/mobilesitemap.xml.gz