You cannot select whether the DOP order should create a shop order or purchase requisition when released. It is always created based on the part type.

However once released, you can Unpeg the shop order from the DOP, (and then remember to also cancel/delete it)

Next you can choose to Create New Pegged Order. And now instead create a Purchase Requsition or Purchase Order to supply this DOP Order.

Thanks. Do we have options to choose the options before or after we create the structure?

You must first create the structure and release. Then unpeg the shop order and delete it. Then instead create a pegged purchase order. 

After creating structure, but before release, we could also peg a PO right? That removes the need of deleting stuff afterwards,

Before the DOP order is released you cannot create a new pegged PO, but you can manually create a PO and then peg it to the DOP order.