Premiere Ignoring DNG file grade
It appears that this is the 'expected behaviour'. Certainly not what I expected.

It seems that ACR doesn't play well with Premiere. So you can't pre-grade your footage before edit. Adobe expect you to use Speedgrade for your grading, despite the fact it isn't a patch on ACR. Your only option appears to be to bring the image sequence into After Effects which allows you to use ACR on import or by editing original at any point. Of course you then lose the speedy rendering of Premiere and all the other good stuff.