If you are using DMP Server 64 bit for Windows, I assume you'll need to install the Microsoft Excel 64 bit driver on your server box. If you are using DMP Server on another platform, then I believe that the Excel driver is not available. Note that SAS does not support any drivers except for the DataFlux drivers that are shipped with the product.
You might consider outputting to CSV files rather, and then pulling them all into a xlsx on separate sheets. You may be able to automate this with a vb script (outside the DMP product). I did a search on "import multiple csv files to excel sheets" and it looks like there are some solutions out there.