No, the formatted sitemap is only to have a easier displaying for the XML.

If you don't see it, most probably it means that you have a htaccess rule blocking files having extensions '.xsl' used to format XML. It's a common feature of Akeeba Admin Tools if you are using it, otherwise a hosting provider policy.

If you are using Admin Tools check the htaccess file that is modified and comment out the following lines that are blocking access to the frontend file for the stylesheet of XML.

Best regards