yeah - I had same problem - running bitbake image-spi seems to have fixed it in that it creates the desired lzma file
the next thing I noticed is that the spi-flash-tools/Makefile run will choke on the build for sign.c since it does not seem to have the right variables set for the openssl include files and libcrypto.so - I fixed that manually but is there something that I have set up incorrectly here?