The problem looks like you have Admin Tools installed on your Joomla! website tweaking the default behavior of Joomla!
The first issue is related to the forced HTTPS conversion of all links in the Joomla! output, refer to this FAQ to fix the problem: https://storejextensions.org/faq/why-i-receive-the-error-your-sitemap-or-sitemap-index-file-declares-the-namespace-incorrectly.html. This issue is even worse than a simple missing formatting, indeed it completely invalidates the XML sitemap document for search engines.
The second issue is that Admin Tools generates a heavily customized version of the .htaccess file.
Indeed the special version of the .htaccess file generated by Admin Tools blocks certain folders and files thus making impossible to retrieve XML stylesheet files needed for the XML formatting.
To fix this issue, you can search for the following line in the .htaccess file:
RewriteRule ^(components|modules|templates|images|plugins|media|libraries|media/jui/fonts)/ - [F]
and remove the 'components' folder to have the following result:
RewriteRule ^(modules|templates|images|plugins|media|libraries|media/jui/fonts)/ - [F]