That's the expected behavior. The SPO site for the Group will be provisioned "on demand", once any member tries to access it. If provisioning the site is a priority for you, use the PnP methods or Graph instead of Exchange PowerShell.
New-UnifiedGroup command does not create sharepoint site
According to Microsoft, when you create an M365 group a raft of associated resources are created such as a SharePoint site, Mailbox etc https://learn.microsoft.com/en-us/microsoftteams/office-365-groups
If I create an M365 group through the Entra Admin Portal, this is the behaviour I see.
However, if I create a group though PowerShell e.g. New-UnifiedGroup -DisplayName "NewGroupTest" -Alias "NewGroupTest" -PrimarySmtpAddress NewGroupTest@domain.net -HiddenGroupMembershipEnabled:$True -Name "NewGroupTest" then an associated SharePoint isn't created.
Like the person posting here https://www.reddit.com/r/Office365/comments/qdr9fc/using_newunifiedgroup_for_365_group_creation/, I can't find anywhere to confirm this is expected behaviour.
Anyone know if this is expected and if so, point to a source that confirms it.