I tried Cinema DNG files from the Black Magic Pocket Camera in the first release of V12 using an AES project. That was far from a pleasant experience, I gave up very quickly. Years ago I'd also tried DNG files from the SI2K camera and that experience was much the same.
I also found a problem with V12 using a single DNG file as a still. FXs would take affect when previewing with the FX window open and but not in preview or render.
It talks about a script that used to exist in prior versions "Render Image Sequence" and when going to scripting in Vegas 13 I saw it was not there. So I went and grabbed and copied that script from Vegas 8 into 13 scripts folder. This allowed me to render stills at the interval I desired to to be imported. I then created a new project and picked Import -> Media and navigated to the folder with the images. It identified the sequence once selecting the first and I also checked the checkbox for "Open Sequence" and clicked OK and then a Properties dialog appeared and I adjusted the timecode to custom. In my case the "render image sequence" script was used to take a 15 second clip to 3 seconds and I had 90 images. I entered 3 seconds as the custom value and a file was generated and appeared fine when placed into the track. Hope something above is useful and I am running B310.
Sorry for the confusion.... I added the "render image sequence" part as I wanted to take a clip from 15 seconds to 3. I did not include in my post that when I imported I used File -> Import -> Media and the dialogue has the sequence info in it which I believe is the same as the OP.
Is there something named import image sequence from the file menu? I found "Open Sequence" in the import Media dialogue and it works for me at least and I am now on Vegas Pro B373 as well. I believe the issue from the OP is when he imports he is only getting some of the frames and those missing are black.