As far as I know it, there is Active D Lighting (camera setting) and D Lighting.
With Active D lighting the camera adjust the exposure to prevent highlight clipping, and then uses a curve adjustment to brighten up the shadows and mid-tones. If you shot RAW and don't use NX2, you would have to manually add the curve adjustment if you used another RAW converter such as Adobe Camera Raw.
D Lighting is a feature of NX2, it does not require Active D Lighting to be set at the time of exposure, all it does is automate a curve adjustment to brighten the shadows and darken the highlights, you could achieve the same thing in ACR using the tone curve and Fill Light/Recovery sliders.
When you shot RAW a JPEG is embedded in the RAW file and the appearance of this jpeg depends on the picture style setting, Active D lighting setting and color space setting. If you use NX2 it will see these setting and apply those setting to the RAW file so that the RAW file will look like the embedded jpeg. Also if you use Photomechanic it is this embedded jpeg that is used for browsing. If you open a group of NEF files in Bridge or Lightroom, initially you will see the embedded jpeg as the thumbnail, but then as the ACR renders the NEF it will take on the appearance of how ACR renders the file.
If you shoot raw and want to use the expose to the right ETTR technique for exposure, then you should use the neutral picture with no sharpening, brightness or contrast.
If yo use NX2 and like the use of picture styles in this converter then use them away.
John