When I run the ARMA model for my time series, the generated values for Phi and Theta are all zeros!
Yes, the values generated by the ARMA Model Wizard are initial guesses. You need to calibrate the model to get the optimal values.
Just select the cell that says ARMA(1,1), and click on the calibrate icon. It will launch Excel solver with all values initialized. Click Solve and the model will be calibrated.