FWIW, a converted DNG doesn't contain all the data of the original PEF, at least for the K20D. The masked sensor pixel data is stored in the PEF but stripped out in the DNG conversion process. Should hardly be noticeable in terms of size, I'm just mentioning this for those who believe that a converted DNG contains exactly the same data as the original PEF.
I don't think there is any other data loss, but I don't really know. If you believe the Bibble people there is hardly anything worse than a converted DNG file (which is why they don't support it).
Of course, for many the lost data isn't a real loss.