No wonder you’re having trouble. The advice shown on your screenshot is phony-baloney. It’s funny how it links to a thread in this community and a Cloudflare support page, none of which mention anywhere that you can set a regular expression in a page rule. Simply because… you can’t.
Create a Cache Rule instead (Page Rules are set to be deprecated soon.).
When incoming requests match...
URI Path contains "sitemap"
Bypass cache