Yes he does - he took penalties against Leeds and Forest when the scores were 0-0 and 1-0. He just doesn't like to be in the named five in shoot-outs (as mentioned by Rickygoo). Personally, I think he's just an average penalty taker. Only 16 of his 205 career goals have come from the spot, but I can't find the stats of how many he's missed.
One thing that has been overlooked is that in the half-season when he was on loan his 3 goals and 3 assists were actually extremely valuable points-wise in helping us get into the Play-offs in the first place. It's what has happened since then - probably the confidence knocked out of him in the aftermath of the shoot-out against Huddersfield - that's disappointing.