When you need a sitemap index
When a site has more than 50,000 URLs, or when you split sitemaps by type (pages, blog, products) to track indexing separately in Search Console. The index can list up to 50,000 sitemaps.
Questions
Can an index list another index?
No. A sitemap index lists sitemaps, not other indexes.
Must the sitemaps be on the same host?
Yes, normally the same host as the index, unless you verify cross-site submission.
What is the limit for one sitemap?
50,000 URLs and 50 MB uncompressed. Larger sites split into several files listed in a sitemap index.
Is my data stored?
No. Sitemaps are read or built for the result you see and not kept.