My initial reaction was that Adobe would be using a common engine to do the conversions, so I would expect both to be identical, so I did a bit of a test.
I took a shot and used ACR to bring the same image across as both a RAW and DNG file; both as 16-bit files. The DNG file is 45.9MB and the NEF file is 51.0MB; so we are obviously looking at some level of (lossless??) compression because the DNG has the metadata and an embedded thumbnail, so there is more data that has to be stored. I always assumed that the DNG was essentially just a wrapper for the RAW data. I used identical settings in ACR when importing the file out of the camera.
Next part of the test was to bring both files into Photoshop (CS6), place one on top of the other and apply a blending mode (subtract or difference) to see if there a difference between the two files. I would have expected a pure black image, but instead I got this (this is a resized, jpeg, but it is still a fairly good representation of what I see on my screen):
I played around with the nudge function to see if it is a registration issue, but no, Photoshop appears to have placed the two images on top of each other. The colour profile that I assigned is AdobeRGB. I personally think this might be a bug in Photoshop, because when I do a selection and to a straight copy and paste and do a manual alignment, I can generate a pure black image.
When I first saw this image, my initial reaction was that the DNG conversion does result in some quality loss. Now I am not so sure.