Price sets allow you to choose different financial types for each field, but the contributions are not recorded as such. I'm confused by this. What is the intended behavior?
Take a look at this common use case for memberships: (also attached)
The 'donation' is one financial type, the membership type is another. However, the resultant contribution is 100% "membership dues".
Furthermore, there appears to be no way to export, search or report on the choices made in the price set selection, even as a simple concatenated text field (such as we see with "Fee Level" in event fees).