Both are valid, the .gz extension just mean that its been compressed to that is is smaller to serve faster. You can have them co-exist to each other.
There is also "Sitemap indices" which on the other hand is a good way to drill down and show more details in specific ares. It's an xml sitemap that points to other xml sitemaps.
I follow this topic, I would be interested as well in knowing an answer. Most of the wordpress sites give by default more sitemaps and I am not sure that it good though
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