I'm not sure what kind of support is available when going
FROM sqlserver to another database when it comes to the DTS automatically creating keys/indexes, etc. I've not fooled with it much, but in my experience, it hasn't created them for me in the past...
The alternative that I end up using is to use a ddl to create a database. Script out your tables, then make whatever modifications are necessary to run that ddl against Access (again not sure what access supports).
Then try running the dts with all the indexes and keys all in place.
I don't think it supports access, but if you're going from ms sql server to say oracle or DB2, i've heard theres an excellent tool out there called chyfo which will create AND convert the ddl for you.