I can see there is an option to convert the camera raw file to DNG within the camera.
Just to be clear: There is an option to shoot DNG. In this case, CHDK raw is not recorded. There is no option to convert after the fact.
Before I'm gonna find out how to make this work I would like to know:
1- Does this cost more time than to compute the camera own raw file?
Yes. Depends on camera, but somewhere from 1/4 to 3/4 of a second longer is probably a good guess.
2- Does powerconsumption increase by this function?
It must increase some, but my guess is that it isn't significant compared to the total power used to take a picture.