I am shooting with a 5D Mark ii and have been noticing a lot of noise/grain to my images. Canon asked me to send them a few examples in the CR2 format. When I did a spotlight search on my Mac not one CR2 file showed up. All have been converted to DNG and it seems I have "lost" the CR2 format.
When converting to DNG, you have the option of keeping or discarding the CR2. I'm guessing you elected to discard it. You didn't embed it in the DNG did you?
Consider doing a test import with a new CR2 file, and this time pay special attention to the options, and to what happens to the CR2.
Rob, the option to retain the original Raw file (in this case CR2) is in conversion to DNG done from the Library module, not to conversions done during importation when Copy as DNG is selected, because in this case the original remains on the card.
CDPhoto, if, on the Import page, you select Copy instead of Copy as DNG, your files on the hard disc will be CR2s. If your really do want them converted to DNG, in the right side panel select File Handling/Make a Second Copy To: and designate a location. The second copy will be CR2.