Welcome to the forum.
If you convert to DNG, LR will take your proprietary RAW file format original and reformat it in Adobe's DNG file structure. This is not necessary as LR will read and process the proprietary RAW format just as it would if the RAW image data had been converted to DNG. A DNG file has a CRC checksum embedded in the header to verify that the file contents have not been corrupted while you were asleep. Some people find this an advantage and the resulting DNG can be some what smaller than the original Proprietary RAW.
However, this leaves you with a dilemma. What are you going to do with two copies of the same RAW image data taking up nearly twice the space as the one file you started out with. You could delete the master original proprietary RAW file and give up any future uses for that file. Or you keep both and nearly double your data storage requirements. If you create a DNG, you can check to see if and when your DNG file becomes corrupt. But not every RAW processor will accept DNG file even though Adobe promotes DNG as a public, common data exchange solution. Proprietary RAW processors from the likes of Canon, Sony & Nikon will only accept their proprietary RAW formats Some third party RAW processing apps do not process DNGs either.
If you simply import the original RAW format, you do not spend the processor time generating a DNG and your import goes faster.
Converting to DNG is an option. You need to determine for your self if the advantages outweigh the disadvantages.