As I said, in case of a very large number of links Sulu automatically splits the sitemap and lists all the sitemap "parts" in a sitemap index. This splitting will also be done when you have different types of modules in your system. E.g. if you have installed SuluArticleBundle you will see that the sitemap will be automatically split and each module will get its own sitemap (paginated in case of more than 50.000 links).
As we have described in the Sulu documentation you can provide your custom routes in a dedicated "SitemapProvider". Registering your own provider will result in an addional sitemap in the sitemap-index.
Improving speed of big sitemaps
Lager sitemaps will take a long time to render. Search engines like Google don't like to wait too long so this can decrease the ranking of your page. But Sulu is able to pre-generate the whole sitemap and cache it on the filesystem. This can be triggered by calling the following command and automated by using a cronjob.