Two main reasons.
1. It saves a bit of disc space.
2. But mainly because there are no side car .xmp files.
All the skies have been lightly processed to ensure the exposure is correct across the image. When the sun is close to the edge of the frame or in the frame, some areas will be over and / or under exposed.
Having the extra .xmp side car file to store the edit information in becomes a bit clunky, increases over all file size and also the risk of the edit date being lost. So .DNG was the optimum choice as all the information is baked into one file.