If you do a search on the forum, you'll find that this is a pretty contentious issue. There are some folks who are militant about abolishing proprietary formats, and by and large those folks convert to DNG. Some folks figure that even if Nikon drops support for .NEF format files, it will be years if not decades before most software drops support for them, and there will be plenty of time to do the conversion if that should happen. (As an example, Photoshop still supports a whole variety of formats that haven't been actively developed in over a decade - and that's just the ones it can create!)
Personally, I fall into the latter category. I feed my NEF files to Lightroom and leave it at that. I can detect absolutely no reason at all to convert files to DNG, although I have no particular reason not to do it either, other than the lack of any compelling reason to do so.
_____ Brian... a bicoastal Nikonian and Team Member
My gallery is online. Comments and critique welcomed any time!