You need to understand
1) extension is just some text, doesn't affect the actual file format. If you give a file an extension that doesn't match the actual format (e.g. telling CHDK to save DNG with extension CR2), it is up to you to correct that or inform whatever programs you use of the actual format.
2) CHDK raw is not CRW or CR2, no matter what extension you use. See the sticky threads in this forum. Programs designed for the real canon CRW/CR2 will not understand these files. Programs that understand many image formats may recognize the CHDK format, and may or may not correctly handle files in DNG format that have one of these extensions.
3) CHDK raw contains no metadata (white balance, color matrix etc), so programs that do understand it will generally display very wrong colors without additional information (e.g dng4ps takes it from the corresponding jpeg, other programs might have presets or command line options.)
4) CHDK DNG contains metadata, but the quality of the color matrix varies between ports. If the matrix is good, a program that understands DNG should display the DNG with near correct colors, meaning it will look much like the jpeg by default. You still have all the data that would be available in the CHDK raw.