Where can I find it in the backend of wordpress?
For the Google XML Sitemaps plugin, it's at Settings -> XML-Sitemap in your site's Dashboard, near the top at "The URL to your sitemap index file is:"
Does WordPress automatically create one or do I have to do it?
No, the plugin creates it once you're saved the desired configuration for it at Settings -> XML-Sitemap in your site's Dashboard.
Do I even need to worry about this?
XML Sitemaps help search bots to index your site efficiently.
And I did not see a "submit" button for the Google XML Sitemap plugin, it just showed check boxes for settings. Does it automatically do it's thing after install.
The "Update Options" button is at the bottom of Settings -> XML-Sitemap in your site's Dashboard.
Would there be a conflict if I had both?
The Google XML Sitemaps plugin take care of everything for you once you save the options, so adding GoDaddy's one on top of it will most likely conflict.