After generating the data directory, when you copy it into your Cave Story+ directory, it needs to overwrite the files *.tsc files inside "Cave Story+/data/base/Stage/". Right now the generated data directory is more set up around the freeware version, so it's not quite as foolproof as it could be. However, if you compare the generated "/data/Stage" directory to the original one, it should be fairly evident where the files need to go.
Cave Story Randomizer version 0.6 will detect whether you've dropped a freeware CS directory or CS+ directory, and will generate the appropriate structure based on that.
Thanks for putting up with it for now and sorry that the process isn't as easy as it should be!