Do you mean you want to know why the Save button is doing that for you? Everyone gets confused by that. It's the DNG converter. To save in an image format click Open instead, and then save in the format of your choice in the Editor.
No, it's not that. When I download raw images from my camera (Canon EOS 50D) to my computer, using a card reader, they download as CR2 images. Using PE6 I can open them in Camera Raw and can then do all the things I need to do, including opening the image in PE6. So why do I need to convert these images to .dng images using the Adobe DNG converter? I notice that the .dng images are smaller than the CR2 images making me wonder if they have lost something in conversion. Also, after I have opened an image in PE6 and saved it in some other format, an .xmp image appears in the folder with the CR2 image which I cannot open.
You don't need to, unless you want to. When DNG first came out the idea was that everyone would stop using proprietary raw files (with the ever-present worry about losing support for your images when they got too old) because DNG would be a universal replacement. It hasn't worked out that way and many people who were very enthusiastic about it at first are much cooler to the format now.
I always convert my CR2 to DNG. The results are superb in all Adobe applications. The files also take up less room on the hard drive which can save a tremendous amount of capacity if you always shoot raw. I keep my CR2 files as backups on an external hard drive/DVD.
If you don't want to do the work to convert to DNG, then don't. I never convert. There are advantages and disadvantages ... you are trading off doing the work, versus saving disk space, or vice versa, not doing the work and having photos that take up somewhat more disk space.
I think the concern about long-term viability of the image format is baloney. I have no fears at all that Adobe software (and other software) will someday fail to read my RAW photos.
The other big advantage of a DNG workflow is that you don’t have to keep upgrading the software every time you get a new camera. DNG is totally backward and forward compatible.
You may have to upgrade the DNG Conversion software when you get a new camera. However, the upgrade is free.