Mishaelo - 9:50 am on Oct 19, 2011 (gmt 0)
why would you redirect requests for your sitemaps?
request from the developers.
in any case, if anyone is facing similar problem - issue was resolved by having the index file on the root (example.com/sitemap_index.xml) which pointed to the sitemap files on the root but they redirect to the CDN.
WMT seems happy with it