Found that issue while working on doctrine/sql-formatter#51 (comment)
With the plugin loaded in psalm.xml:
vendor/bin/psalm --output-format=checkstyle
Scanning files...
Analyzing files...
░░░░░░░░░░░░░
Without:
Scanning files...
Analyzing files...
░░░░░░░░░░░░░
<?xml version="1.0" encoding="UTF-8"?>
<checkstyle>
</checkstyle>
Why is there no checkstyle output in the former?