How do I burn a DVD ISO from a MacBook?
Try to insert a empty disk into your mac. Then, share it with you MacBook Air. Now, you should have a new DVD-Icon in the finder sidebar. 

It should now show up in the Disk Utility tool!

Or:

Right-Click on the ISO-Image, and click Burn on CD/DVD after you "connected" the empty CD/DVD to you MacBook Air via DVD-Sharing.