Recently im facing this issue, I set my sitemap frequency to weekly, but still the follow URL is showing not submitted in sitemap, This issue started only for new URLs from this month.
I don't know what happened?
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The frequency you set is a requested recommendation. Indexers do not guarantee to crawl your site if they feel they know better (i.e. low traffic, infrequent updates will result in less frequent crawls).
"Indexed, not submitted in index" usually means that the page was found via a crawl and has been indexed but wasn't found in the version of the sitemap the indexer has on file. This might be because your sitemap wasn't recrawlled at the same time as the page linking to your new content.