The path is correct. It's the same as the html sitemap, but with XML at the end. I've pasted the path at the command line and it opens the empty file.
It's very weird because it writes the HTML, ROR and url list files, but not the sitemap file.
The current install is fresh. I even tried it without changing anything and it didn't work. I've tried it without first creating the sitemap.xml file (it created an empty file) and after creating the blank file.