I assume when you say "(I do say to create married name)" this implies you have set the "Preferences // Program Options // Prompts // Prompt for married names" as being checked? A Name-Married will only be created as part of creating a Marriage tag, and then only when the male linked to the Marriage tag has a surname, and there is a female linked to the Marriage tag.
Under what circumstances do you not see these Name tags being created? Are you getting the prompt asking if you want a married name? If so and you click Yes, what do you see in the female's Detail screen?