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In the Import dialog box, you click on Copy as DNG and then Import.
Could you please let me know if you are using Digital Rebel T2i EOS 550D EOS Kiss X4 Digital Camera ?
If you are using Lightroom CC , then this Camera is supported with Lightroom CC .
Please check the following link : Cameras supported by Adobe Camera Raw
Else if there is any other information please let me know so that I could help you out.
With respect to the two more experienced posters above, your question implies that you may already have your files "in" Lightroom. If so, the Export routine has an Image Format selection for DNG in the File Settings box.
I wonder if what you could be referring to is that if you choose to convert to DNG using Lightroom then the original raw files are downloaded and first displayed. After the download is complete then the review process begins.