Mule by default applies lot of transformers in the flow to convert the payload to required formats.
In the case when there is no choice router it converts the object returned into an xml string to write to file. But with choice router it is the programmers responsibility to provide a transformer to convert the response object to an XML string.
Add the following mule-xml jaxb object to xml transformer after choice router and before writing to file-outbound.
.....
</otherwise>
</choice>
<xm:jaxb-object-to-xml-transformer name="ObjectToXML" jaxbContext-ref="MyJaxb" returnClass="java.lang.String" encoding="UTF-8"/>
Hope this helps.