I would expect the errors to appear in the Problems list.
Instead it showed the error at the top here;
http://i.imgur.com/eMJ1z9N.png
Install an alternate sitemap plugin like Google Sitemaps, have it create a sitemap.xml file, then install Yoast SEO and navigate to the Yoast dashboard.
Can you provide a link to a page which shows this issue?
No it's in the backend.
Original WP Support Ticket;
https://wordpress.org/support/topic/sitemap-error-should-appear-in-problems-list?replies=4
Creating a static XML Sitemap at /sitemap_index.xml gives no warning at all now.
Thanks @mariusghitulescu, you'll want to create a unique issue to get more attention on your issue as it's new and is unrelated to the cause of this issue.
@garrett-eclipse You're right, thanks. I created a new issue here #10528
Hi @garrett-eclipse, this issue has been fixed somewhere (see image below) but we didn't connect the fix to this issue or updated it. Therefore, I'm gonna close it now. I'm sorry for the lack of communication. Thank you for your understanding.

That's awesome thanks @benvaassen, no worries happy to hear it's corrected.