What is your OS?
What Version of Dreamweaver are you using?
I just tested running the Site Sculptor wizard on Mac OS, DW CS5 and it created PHP Files for me, so i'm not sure why it wouldn't be creating PHP Files for you unless there is a OS, DW version difference. also, make sure you are using the most recent version of design Extender, version 1.1.1 which is available form the download center