I've followed both these
XF 1.4 - "no sitemap" error (XenForo 1.4)
And still nothing is working.
I've tried rebuilding caches and run the cron entries and I still hit the same problem
I just came up with an idea that I'm going to try. And, see if it works.
I went back into my Xenforo zip (The one you download from xenforo.com/customers and I took and added the sitemap.php. Because the file didn't exist on my server, after successfully uploading the sitemap.php I navigated my way to Rebuild caches and rebuilt the sitemap one (Just as a precaution). I also did the same with cron entries. I then when back to the XML sitemap generator and saved changes. And, it worked!