I think it's a question of the kind of code that people do in science/engineering as compared to CS (my background is that I'm a practicing physicist, but started out with a background in Computer Engineering in undergrad.) Yes, some basic CS (say an algorithms class) would be useful--but much of what we're working on as physicists is not what a traditional CS program would emphasize. For example, you have people with relatively small data sets that they want to fit--learning a language is about as far as they need to go. Others end up wanting to put a user interface around it if they use it excessively or distribute it for others. While perhaps a course on UI would be of use, for most, it's not what excites us, or advances us in our field.

Now, there are some who are doing high performance computing where abstraction and software engineering become important--but again, at the undergraduate level, how many courses are emphasizing the advantages of say templated C++ programming for scientific computations?

I think a service course on scientific computing would be of more use to most physicists than a general background in CS. For those that will end up working on large projects, then perhaps a course on software engineering. As for math courses, maybe I was a bit weird, but didn't you learn diff. equations in high school :p? But as for things like PDEs and such--I will say that a lot of it is learned as part of the coursework for say a first modern physics course, rather than in a math course...

For us, math, programming, etc. are tools that we use to do what we're interested in...(This is in no way to denigrate math or programming)