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It is my understanding that LR will work with dual-pixel CR2 files, but you cannot take advantage of the dual-pixel features. This means you should be able to import them just fine, as if they were not dual-pixel files. You must use DPP to take advantage of the dual-pixel features.
The note about embedding original raw when converting to DNG suggests that they will work otherwise there’s no reason to convert to DNG if Adobe software won’t handle them.
You cannot convert to DNG on the way into LR because it doesn’t have the option to embed the original file.
My interpretation of what I’ve read is that LR will import dual-pixel CR2s and will import dual-pixel DNGs that have been converted with the DNG Converter application with embed-original-raw enabled.
Please explain more what your workflow is, and if you want, upload one of the dual-pixel CR2 files to dropbox.com and include a public share link in a message here.