Shrey, I’d suggest you download, choose your selects and rename your files before bringing them into DxO Photo Lab. You can also do any renaming on the other side (that’s what I do). I only rename (Event-Date-Time) and keyword finished jpegs/tiffs after processing and export from DxO Photo Lab. There’s no sense in doing a bunch of busy work for huge numbers of rejects.
If you are someone who needs keywording and exact file names for files which won’t be processed, I’d suggest doing that on ingestion. There are lots of dedicated ingestion and selection tools. PhotoMechanic (good reputation among sport shooters but expensive) and FastRawViewer (just $15) are two which I’ve tried and know they work. I use FastRawViewer. Other people have had success with simple Adobe Bridge.
There’s an in-depth discussion of DAM-related issues here.
As long as you do your renaming before or after DxO Photo Lab, you avoid any issues with .dpo links (which is a big issue as you point out).