You can refer to this video tutorial for sitemap exclusions using standard menu and content data sources: https://www.youtube.com/watch?v=Qo5b2g9IRSU&index=2&list=PL6t5xIMeFJ2JG3OQASXPLi5YrFduVGWq3

Moreover you can exclude a certain URL from all XML sitemaps using the switcher button in the Metainfo Dashboard as visible below:



A final approach to completely exclude items or whole categories for third party extensions, is directly using filters in the data source settings as discussed and reported here:
https://storejextensions.org/forum/view/10-jsitemap/3307-re-exclude-single-k2-item

Obviously if you need to exclude a whole data source for a certain menu, component, etc it's enough to unpublish it.

While you are working on the exclusion of items from the sitemap, pay attention to disable all possible active cache that could prevent your changes to be visible.