I think so, because in the example, each language URL has its own URL element and within each URL element, the links to each different alternate language so that they all link to each other.
I deleted my own post because I thought I had misread it but in fact I didn’t but couldn’t undelete it again.
So here it is again for reference:
In the notes of the example you linked to, it says that you need an URL element for each language.
Debes crear un elemento url independiente para cada URL. Cada uno de estos elementos url debe incluir una etiqueta “loc” en la que se indique las URL de las páginas y un subelemento xhtml:link rel=“alternate” hreflang=“XX” para cada versión alternativa de la página, incluida la propia página.
But the snippet from the xml sitemap plugin creates the links for each language within the same URL element. Maybe that’s why.
Edit:
But the snippet from the xml sitemap plugin creates the links for each language within the same URL element
which is correct, but the URL elements for each language are missing.