Would it be difficult to have CubeMapGen be able to export 6 separate mipmapped dds images? Unless I'm missing something, presently one can only get all 6 sides and their mipmaps into a single dds with multiple layers, but we don't have code (Vegastrike engine) to read such a format. Or else it exports cross cubemap images for each mipmap level, but we know of no tools that allows one to collect mipmaps into one dds.
There is a button to "Export CubeMap to Images" which should do what you're asking. Unfortunately when I just tested it, I was unable to save them as DDS files, but hopefully you will have better success.
We will be updating the version of CubeMapGen that is available online soon, I will put in a request to add / fix this feature.