I found sitemap.xml located in portals\0\sitemap folder.
As per my knowledge sitemap.xml is generated automatically by DNN.
But in my case sitemap.xml was neither got updated when I added a new page to DNN nor it was created again when removed.
Is sitemap.xml used by DNN for SEO purpose? When is the file created?
The purpose of a site map is to provide search engines with the list of the pages hosted by your web site, so you are right about SEO.
For DNN, there is not (no longer) such a static site.xml file AFAIK (maybe this file has been generated by any third party module).
You can use instead this dynamic URL : http://www.yourdnnsite.com/SiteMap.aspx and I advise you to submit it to Google Webmaster Tools as soon as you can.
Go do Admin > Site settings > Marketing section, and you will see the URL of your site map.