All I can say is what you say, MisterMe, makes perfect sense.
But, if you look at apple's help, they will tell you to do just that. Convert the .dmg to a .cdr using format "CD/DVD master" and then burn onto a DVD.
So are you saying that your experience with the Disk Utility is that the convert feature using format "CD/DVD maste" is specifically and only reserved for CD masters?
I'm trying to understand...