Why do you convert the NEF to DNG?
Doesn't seem like a good idea to throw away the Nikon raw data and put it all in a third party vendors file format.
Curious to hear opinions on this.
One advantage would be if you have an older computer or one that perhaps isn't up-to-date with the latest hardware, working with DNG files can be faster because they are generally smaller, even if they aren't physically on disk. Second, edits can be saved into DNG files (at least for Adobe products), so if you have to share your files with someone else, it's usually as easy as just giving them a DNG to work with with the edits embedded, whereas if you used RAW, you'd have to export your edits to an XMP and supply that (or a catalog) to someone else.
So most people probably do it if they are working with someone else because it's easier to move files around between parties.
But the primary reason I think is for disk space and speed (with the Z8 and Z9 files, the largest RAW file I think is 60MB being Lossless compressed on the Z8). Now if you were using an uncompressed format (say the Z7's uncompressed RAW, then you're lookg at 90MB RAWs and over time, this may eat up a lot of disk space -- although disk space is cheap). But some people may need all of their images with them on an external drive and so DNG is one solution (files are smaller, they can work faster with some RAW processors and they are easier to backup and share).
And to the part about LR, one thing I think people forget is you can backup your catalog and such, but it's also good to have LR export your edits to XMP files when you're done editing, just in case your catalog gets corrupted or you don't have a good backup. That's just a price I have been doing (the files usually are small, largest I've seen is 1MB but it's basically a backup of my edits).