Please make sure that you are checking the WordPress root (WordPress can be placed not in the root, but in the subfolder. In this case, you should search the sitemap in the subfolder).
Also, make sure that none of your PHP security directives for that domain is disabling file-write.
This article related to Sitemap by BestWebSoft plugin
Additional resources: Sitemap - User Guide
Still need help? Feel free to contact our friendly support team. Create a private ticket