Yes, it's definitely creating them. If I view the outputs of the flow history I can see that the _regardingobjectid_type is set as 'opportunities' on one of them.
I've created a workaround at the moment by inserting a 'get record' action looking for a Lead record. Obviously, if the guid on the input of this action is not a lead it fails. Although i'd rather a slicker way of doing this.