I have the schema with this:
Is it correct or should be:
if all my web pages are on HTTPS?
You can validate your sitemap on https://www.google.com/webmasters/tools. It will give an error when you use https to refer to the schema.
I have also seen other sitemap validators that refuse to validate the https version of the namespace, so using http might be the only correct option, even when your site only uses https.
The value of the
xmlns attribute is to uniquely identify a namespace (the "namespace URI"). It does not relate to whether your site is serving content over HTTP or HTTPS - for this it makes no difference.
sitemaps.org site defines the protocol using
http://www.sitemaps.org/schemas/sitemap/0.9 as the recognised namespace - so this should really be the string used.
sitemaps.org does universally redirect everything to HTTPS, so maybe both would seem to be valid? But see @unor's comment below.)