What you have discovered is that "Save as HTML" works sensibly.  It generates the needed CDFs and the approproate embedding HTML/javascript code to render the notebook saved as a web page with embedded CDFs for those elements that can remain active and use the CDF plugin. 

If you separately create a CDF and want to embed it in a web page of your own, then you have (obviously) to place the appropriate embedding code in the HTML yourself.   And you have detailed control in that case on where you want your CDFs to appear in your own HTML page.