Things that worked for me:
Cycling - good for keeping fit and stretching the PF.
Put a plastic botte of water, with the top off, in the freezer. The bottle of ice is then great to roll back and forth on your heel.
Ultrasound - I was referred by my GP to a good-old NHS physio who blasted the heel with U/S. It was a pleasant warm sensation. Then it felt a bit worse before feeling better. I had about 6 treatments.
There is a lot of hocus pocus about PF. So, I'm sceptical about your physio's claims. Generally, it is a degenerative disorder rather than an inflamitory one so that non-steroid anti-inflamatories are good for relieving the paid but don't get to the heart of the problem.