Resolved
Symptoms
The usage of individual sitemaps per language in the Yoast SEO (ex WordPress SEO) plugin only works correctly 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
After some research, we found that this not a bug, but just the way the Yoast SEO plugin works.