Chris - The pictures in a "Project" remain as you have last changed them in the "Customize" tab and can be accessed when you open the particular Project, no need to process first. You might only want to back up when you want to delete a project. The backed up Project files are NOT NEF files, the NEF files are irreversibly altered/lost during de-mosaicing and lens correction. You are now dealing with another type of files with the extension *.opdb ; I believe these only work within DxO.
I have never bothered with sidecar files. I only know these are in .dop format which is different from the sidecar format used in LR that contains the meta data for each picture. In principle, the DxO sidecar files should contain all the alterations made to obtain a particular JPEG. You might want to contact DxO customer service to find out, whether these can be opened in LR.