When you create the button and click on the finish button it should save it to your PayPal account specified by the API credentials that you enter. After clicking finish the button was available in the select list for Buy Now buttons. I was then able to select this button and click on the 'add to page' link underneath it. After clicking finish can you see your new item in the add to cart buttons list? Do any errors occur when you click on the finish button?
As for the error you are getting with the DW extension you may be experiencing a problem with a corrupt cache file, here is a link with steps you can take for this:
If you have any further trouble with the DW extension let us know and also post back with any more details about your ExWeb experience.