I think I'd only do it if I needed to open an ORF file in some software that happened to not support it, and even then it'd probably only be a file or two that needed it. Or you might need to do this if you've just bought a new model and nobody's updated for it yet - but don't forget that would include the Raw to DNG converter too!
I just have to wonder though, what gets lost in the translation? Think about it! Each Raw file is unique to each camera model, for a reason. Most people shoot Raw, or at least I do, in order to extract the maximum quality photo I can from that file. That means each Raw file format will be different for each camera, depending on the features and specifications of them. If you convert these to a single universal format, something has to be sacrificed.
What you
might loose is the metadata about camera settings inside the ORF file. I'm saying
might because I don't know if it's still an issue today (you will have guessed that I'm not using DNG myself) : 5 years ago or so, I remember that Olympus was criticised by Adobe for encoding metadata in a "non-standard" way.
However, if you referring to the data related to the bit depth, that's unchanged between ORF and DNG. So don't worry about anything being sacrified at this level.