Ok, as for the (Select Sitemaps to Generate), I've left what is already ticked in sitemap, not sure if it's better to tick the boxnews, news, reviews?
I had to manually add a few of my categories as they did not get added to the file.

As for the main domain, do you have to use (.../index.php?main_page=index)? Can't just just use the actual domain without the index.php part?

Also, I first went to (https://www.xml-sitemaps.com) to create a sitemap and it scanned a whole lot more pages than the zen cart plugin did. Is it better to use that instead or stick with this?

Still not sure if the robots.txt I created is good to go or if it's need further adjusting?!