Just to follow up for anyone reading, I think I've recreated the problem.
1) import into lightroom and copy as DNG.
2) right click on photo from within lightroom and say 'edit in' Photoshop
3) Go through Camera RAW and start editing the photo directly in Photoshop (not in Camera RAW)
4) Save the file (you'll be forced to because Photoshop does not appear to want to save in DNG format)
5) the file then appears in your lightroom
6) say you now want the tiff/psd/etc. edited file as a DNG.
7) I then right-click on the file to export as a DNG and this is when the DNG no longer appears in finder with a preview, but as a generic icon.
