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Solved.
The problem was that EasyWP has a NGINX redirection rule for Yoast’s sitemap.
It redirect sitemap.xml to sitemap_index.xml.
Since users have no access to NGINX config on EasyWP, I had to ask the support to remove the rule.
There is a mention about the sitemap here.
https://www.namecheap.com/support/knowledgebase/article.aspx/10015/2279/easywp-plugins-cache-plugin-seo-plugin-and-blocked-plugins/