The plugin has never created a sitemap.xml file, which is what most SEO reports check for. In the lastest version of the plugin it will check if there is no /sitemap.xml and redirect it to /sitemap_index.xml which is the main sitemap generated by the plugin. If the redirect is not working you can manually add one to your site. If your site is on apache (most likely), you can edit your .htaccess file and add the following:
Redirect 301 /sitemap.xml /sitemap_index.xml
The plugin pings google already, so having this redirect is not really a necessary, but more of just a nice to have. Same with adding it to the robots.txt file.