JSitemap can work fine with sh404sef.

The generation and routing of links is not managed directly by

JSitemap, but is demanded to the SEF extension installed and enabled on your site, either native Joomla SEF
or a third party solution such as sh404sef.

If you experiment issues about XML documents such as sitemaps being rendered as HTML when sh404sef is
enabled, ensure that the parameter 301 redirects from non-SEF to SEF links in the configuration of sh404sef
is not enabled. To change the setting in sh404Sef follow this screenshot.

If you still experiment issues, you can also change the configuration of the router for JSitemap, choosing
'Leave as non-sef' to not alter links used for sitemaps or 'Use Joomla router' to use sitemap links based on
the default Joomla router.

Notice that if you activated 'Leave as non-sef' and you have a menu item poiting to the HTML sitemap on
the site, you need to create an SEF alias in sh404sef for this link, otherwise the link for this menu item to the
HTML sitemap will stay in the raw format.