It also the feature that is missing for me. Most of times I need a script that inserts generated data.
To get /save a script (as a workaround) I usually put two the same databases onto one (local) server, generate data against the first and then using the SQL Data Compare, I'm comparing these two databases. At the end of synchronisation (of SQL Data Compare) wizard there is an option to see the script and copy or save it.
This is the easiest way that I have found.