All image previews are stored as JPEG files of various sizes inside of a .lrprev file. The loading speed of the preview images will likely not change much if you switch to DNG. The benefit of DNG is that it is an open standard format, and can keep the metadata in the same file as the image data, which simplifies portability. On the flip side, you would incur not only the extra cost of generating 1:1 previews on import, but also converting from your native RAW to DNG raw.

You also have to consider that DNG stores image data in a specific way, using integer values for pixel data. That will generally work for most sensors, however there are some special sensors that use non-square bayer arrays, make use of extra luminance pixels, or might possibly use floating point numbers rather than integers to store individual pixel values. At the very least, if you convert to DNG, you should keep your original RAW images around.