I'm not sure what is going on, but this is certainly not as designed. I can export a jpeg with a watermark just fine from HDR or other DNG images. You say you "use a plugin that outputs a DNG". What kind of plugin is that and where do you use this? Lightroom Classic?
In that case your online DNG will be a smart preview, because Lightroom Classic only syncs smart previews. I have no idea why exporting this smart preview would not allow you to add a watermark and other smart previews do allow it (as they should). It could be that the Photomatix DNG is non-standard, but even in that case that shouldn't matter because the DNG in Lightroom Mobile is a smart preview of it, not the original. Very strange indeed.