I think the shadow/highlight clipping might indicate out-of-gamut colours, as well as luminance clipping. Since PhotoLab uses Adobe RGB working space the application of the DCP profile might be pushing some of the colours beyond Adobe RGB, that’s why the clipping indicator gets active. Do you use the auto function of the “Protect saturated colors” slider in the Color rendering tool?
I haven’t noticed this phenomenon when using Adobe DCP profiles for my camera. The only difference between DxO PL2 and Lightroom when using the same camera profile and all else disabled is that the black subtraction in PL seems to be different than in Lr (increasing shadow contrast a bit). Also WB is calculated differently by the two applications, but apart from that the new DCP support works quite well for me.