Thanks for reaching out! The behavior you've observed with the DNG files is expected. DNG files are unprocessed files (Raw) that are captured by the camera & saved with all metadata information. Since DNGs have more information in them, you have more creative freedom to process the images to your liking.
Jpegs on the other hand are processed prior to being saved. This processing includes sharpening, saturation, vibrance, etc. Once the image has been processed & saved, the additional information is mostly discarded while limits the range of edits you can perform on them.
Please let us know if you have any other questions!