Why is this happening?
Because the preview (jpeg, embedded) in the DNG is a re-rendering based on Adobe defaults. It's not the same embedded preview that came in your NEF (which was created, initially anyway, in the camera).
To better understand, it helps to know how the story unfolds from the beginning:
When you press the shutter release, the camera takes the raw image data from the sensor, folds in the camera settings, crunches it through the Nikon image processing "engine", and compresses the result into a jpeg, which it subsequently stores (along with the raw data) in the raw NEF file, and shows you on the back of the camera, etc.
When you convert to DNG, Lightroom does something similar: it takes the raw image data from the raw file, ignores most of the camera settings (except, for example, white balance), crunches it through the Adobe image processing "engine", and compresses the result into a jpeg, which it subsequently stores in the raw DNG file, and shows you via OS codecs or in ACR, or Lr...
So, bottom line, you are just seeing the difference between current renderings of Nikon vs. Adobe. If you edit the NEF in NX2, the preview will be updated when you save the NEF. If you edit the DNG in ACR or Lr, you can also update the preview to reflect the current edits.
Hope this helps,