There's a few things I need to investigate (like why did the sitemap not include the URL) but these are the normal teething problems on learning new software.
I don't provide a sitemap in my skins, and don't use one in any of my albums, but this rings a bell.
At the time of album creation, jAlbum doesn't know what the URL of the finished album will be. To compensate for this, the skin provides a place to
tell it what the address will be. See
Photoblogger > Advanced > Site admin > Upload path. That field name is a bit of a misnomer - it's not really the upload path - it's the web address of the finished album.
So, filling that in with a full, absolute URL, including protocol, and hitting
Make album again might fix this issue.