Resolved
Resolved in: N/A
Overview of the issue
The usage of individual sitemaps per language in the WPML SEO (ex Yoast SEO, ex WordPress SEO) plugin only works if WPML is configured to use a different domain per language.
However, if the language URL format is configured to be in subdirectories instead, all the languages will be displayed together.
Workaround
This is not a bug, it's just the way the Yoast SEO plugin works. Search engines will pick the correct language from hreflangs.