It sounds like you are using Adobe Photo Downloader via Bridge's "Get Photos From Camera..." menu command.
The "save copies" feature will save copies of the original RAW files during the download process; you are seeing the feature work as designed. Some photographers want to keep both DNG files as well as the original original RAW format files, and others choose to keep only the converted DNG files.
These original RAW can be used as part of a backup workflow, but the "save copies" option alone does not provide the kind of backup workflow I think most photographers want to use. For example if the photographer's intent is to keep the original RAW files as well as the DNGs (I understand that in your case, you just want to backup DNGs), then a robust backup would probably put backup copies of *both* the DNGs and the RAW files on an external hard drive (or more than one external hard drive).
One way you can use Bridge to save backup copies of your DNGs after they've been downloaded is to select the new DNGs in Bridge and use the "Copy To" command in the Thumbnail contextual menu to make copies of the DNGs on your external drive. Right/Control Click on one of the selected thumbnails to bring up the menu. Recently browsed folders and folders you are browsing in other Bridge windows will appear in the "Copy To" list. A "Choose Folder..." command also lets you make copies to folders you have not yet browsed with Bridge.
I have spent ages trying to find out if i am doing something wrong also. I think it is ridiculous that copies wont save in DNG! If anything it is the copies that need to be converted more so than the originals.Still i'm gald I found your email in the forum so that I can get on with something else. Denise