Remember the directory where it writes the XML files needs to be writable. If the program cannot write to the folder, then nothing can be written. We had this issue on one site. We had to change the permissions to make directory writable. Not sure that will help.
Also remember if your install is inside a directory like /blog/ then the sitemap might actually be yoursiteroot/blog/sitemap_index.xml ... usually you can click the button found in the SEO admin menu under sitemaps. That is how I often go to find it. :-)