Hi,
The reason is that DXO demosaices and interpolates the file in order to apply the optical corrections. By doing this, you don't have the original RAW anymore but a linear DNG where the individual channel values have been modified. For the rest of edits, DXO uses its own metadata (as to instructions to apply to the file, similar to the LR metadata) which are not compatible with LR. If you export the DNG to LR, you loose the DXO metadata (the color and tone edits) and you start with a quasi-Raw file in LR.
Now, why do I say you have to white balance in DXO if you have blown out highlights? Well, for some reason, DXO produces 16 bit per channel unsigned integer values in the DNG it produces. The curious thing is that all non-clipped (from the original raw) data is spread out in 15 bits (0 -32,677) and blown out data gets a much higher value that needs the 16 bits, but it is not the maximum value (65535) Why it does it I have no clue, but what happens is that LR does not consider it as a "blown out value" so if you modify the white balance in LR later on, you will get non-neutral values in those highlights. You might correct them with local edits, but in some cases it might require a lot of effort,