If I were you, I'd remain skeptical and stick with native formats
Actually, I think there are advantages of both formats. And even good argument to keep both!
DNG:
DNG stores previews and is fully XMP compatible, i.e., XMP is embedded inside the file. The format generally works well with Adobe products (lightrrom, Photoshop).
Also there are several camera brands on the market that use DNG as their native raw format (including some high-end brands like Leica).
An additional argument often forwarded by Adobe is that DNG is more future-proof. In the digital age each new camera creates new types of RAW files. So one NEF is not the same as the next NEF, one CR2 not the same as the next CR2. That argument is a bit redundant though, because specifications of the DNG format have been updated/upgraded a few times since the format has been released. But: compared to native RAW formats, DNG is not proprietary, the source code specifications open to anyone. So, DNGs are possibly also the better choice with some freeware RAW converters like Raw-Therapee.
Finally, camera companies may go bankrupt and then support for their RAW file formats will, at least in the long run, likely disappear from the market. Even the biggest brands are actually not immune. A good example is Kodak. Rumors have it that Nikon and Canon SLR struggle quite a lot with the new competition from mirrorless cameras (particularly Sony). Of course one might argue that even DNG is not completely immune to this, Adobe after all might at some point go bankrupt too, but DNG then likely has a much broader market share than any proprietary format.
NEF / CR2 - native, proprietary formats:
Most native camera RAW formats do not store previews and most include only a very limited set of metadata (e.g. exif). In fact, writing XMP into these files bears a high risk of image corruptions, the formats were not originally designed for that purpose. That is why PSu per dfefault has metadata-writing to these files disabled per default. XMP is typically stored as sidecar files. This has the obvious disadvantage that the metadata are kept separately from the original file and the two files need to be distributed in pairs, if one intents to share metadata and image data together.
This obvious disadvantage can be seen as an advantage though: Image Management software like PSu do not touch the actual image file and only update the XMP. Thus the chance that the original file becomes corrupted is lower. Only the sidecar file is being updated, not the NEF or CR2 itself.
I have actually experienced both scenarios: corrupt DNG files (likely caused by metadata corruption) and NEF files that no longer could be opened, because I had at some time enabled IDImager (not PSu) to write XMP to the image itself.
Though Adobe generally strongly supports DNG, they cannot afford to ignore original raw files, I guess one does actually not notice much of a difference editing NEFs or DNGs in Lightroom or Photoshop. Some non-Adobe RAW converters, however, do not really support DNGs. Particularly PhaseOne (C1) does not really work well with DNGs. DxO, however, works quite well with either one.
There are probably several other reasons too to prefer either DNGs or native RAW formats.
Conclusion
So, what is my own final conclusion?
I generally keep both, NEFs and DNGs (I do not own any Canon gear). To me that seems the most future-proof approach. Yes, it seems like redundant storage overhead, but here are my reasons:
NEFs not touched by PSu remain a "pure" backup version of my images. But I also like that I can easily share the DNGs with their metadata included inside. The extra costs of keeping both files are minimal: PSU facilitates to keep them versioned, so there is little management overhead to keep both files. The costs of additional storage (hard disk space) is, in my view, outweighed by the fact that keeping two versions is an additional safeguard against image corruption, especially copy-errors. Yes, one can keep backups, backups, backups - but any backup is a copy of the original file and that copy process is not immune to error.
One final advantage of keeping both: Had I decided years ago tho throw away my NEFs and just keep the DNGs I could now not use PhaseONe (C1) a software that only fairly recently came onto the market. But then, who knows if in 20 years any software will still be able to open the images from my Nikon Dx2...
The only strategy that I would NOT advocate though are DNGs that have a full NEF as a second copy embedded inside. That, in my opinion is really redundant. DNGs that include the original NEFs are huge. Just keeping the NEF as a copy is, in my opinion, the better strategy.
And if you are
really concerned, about hard disk space: you can always keep only the NEF (or CR2) and convert these files to DNG should the necessity arise... (depriving yourself of the slight advantage of keeping two copies for safety).
Cheers,
Frank