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After further debugging, I noticed an interference with Polylang. If I deactivate that plugin, the custom post type is included in the sitemap as expected. Can you think of any solution for that?
Okay, managed to solve it.
For anyone searching for this: it worked when I went to Polylang ->Settings -> Custom post types and Taxonomies -> Settings and select my custom post type (courses) to be translatable.
Afterwards open the course and hit the “save” button to update the post.
Now it is visible on the TSF sitemap.