The jain-sip stack does not create implicitly.
You'll have to request the creation of the dialog, after the initial request has been sent.
The following code shows how to do that.
ClientTransaction ct = sipFactoryProvider.getSipProvider().getNewClientTransaction(request);
ct.sendRequest();
Dialog dialog = sipFactoryProvider.getSipProvider().getNewDialog(ct);
Later on, the response will be associated to the dialog.
Regards, Luis Barreiro.