Sounds like you are having some difficulty, for some reason.
I've been using DNG as that is what I am already set up for on my camera and the SX10.
If you are doing everything correctly, there should be no issue:
-install full CHDK
-run badpixel.lua (click set to save at the end)
-enable RAW and DNG in RAW menu
The resulting DNGs should be correct. Can you open them in other software? They open correctly in several programs I have (irfanview, UFRaw for gimp, picasa, photomatix, etc.).
When I convert with imagemagick (using the command parameters you've used), the original DNGs are 15143kb, and the grayscale TIFs are 19881kb.
For some reason, the DNGs only show up as 128x96 thumbs in ImageJ.
I installed ImageJ and looked at the TIFs. The information is virtually the same as I was getting in HDRShop, but with more information (However HDRShop evaluates pixels values on a scale of 0-1). I may continue using this in the future as it gives more tools for analysis.