Yeah, it is strange. My experience is the same as yours. It even looks like LENR wasn't turned on, which is why I questioned if the dark frame was actually taken.
I wouldn't be so hasty to blame the camera until operator error has been ruled out To know the camera has the LENR feature is one thing, to understand you have to wait (perhaps 16 minutes as Gromit44 pointed out) to turn the camera off is another.
RTFM is something we rarely do as a shoot is in progress, especially in the dark. If this was the 1st time the OP used the feature it's quite understandable how the camera could be shut off prematurely.
>At this time, based on all the reading I've done on the subject, I am forced >to use Long Exposure NR which doubles the exposure time. This is unfortunate >as it leads to fewer opportunities to take a shot you want. > >Also, I think the only way out of this (if you realize that your Long Exposure >won't exposure the way you want) is to switch off the camera (and maybe even >take the battery out) and then switch it back on.
You don't have to give up opportunities to take the shots you want. You can just turn off LENR and postpone taking the dark frame shot(s) until AFTER you've taken all your photographs. You can then subtract dark frames manually during post-processing instead of letting LENR do it in-camera. This is quite common in astrophotography circles. You can probably find much more info on the subject at Nikonians Astrophotography forum, but here's a couple links to give an idea......
Given the above, it may not be too late for you rescue your photos in post. I'd check with the folks in the Astrophotography forum to see what your chances of success are at taking a dark frame at this late date.
If you have Capture NX2, you might want to try the Astro NR feature in the Develop section. It's not the same as using LENR in-camera, but it's fast & easy and worth a try.