Validating site maps

I used www.xml-sitemaps.com to generate a sitemap for my new website. I've never tried to validate a sitemap before, but wondered if I should. When I tried to validate it at the W3School site, I got the following message:

Result of Validating: http://www.st-petersburg-attorneys.com/sitemap.xml
Failure

Am I doing something wrong, or are we not supposed to attempt to validate sitemaps?

Also, there's a statement at the top of my map:

This XML file does not appear to have any style information associated with it. The document tree is shown below.

Is this a problem?

 

XML file is without style information is normal.
" This XML file does not appear to have any style information associated with it ... " is not a problem.

recheck the xml file for urlset undefined error

 

Thanks, mnmani . . . It's good to know that the message about style is normal.

I'm not sure what to do about the other now. I tested the sitemap at Google Webmaster Tools and it says there are no errors found. But the site you link to says it does not validate because it has an undefined root element. Which should I believe?

If Google is wrong, maybe I should try generating a map at some site other than www.xml-sitemaps.com since this map was apparently generated by this site with a mistake?