Dust in a DSLR generally ends up on top of a thin layer of glass(like) above the sensor, usually an anti-alias filter. Even on cameras without AA filters there is still usually a layer of glass (or similar) there.

This means the dust is slightly above the sensor.

When you expose with a lens set to a high (small) aperture, this near-point-source casts a very sharp shadow from the dust on the sensor and you see it.

WIth a wide aperture (or no lens at all) the light is coming from a wide source, and so casts a diffuse shadow which might not be visible at all.

It is like your hand at waist height casting a shadow in the sun, but with diffuse light from a cloud, it casts no shadow -- doesn't mean it isn't there, just how the shadow falls.

If there were no glass above the sensor, the dust would almost always show up, just as your hand would cast a shadow even in clouds if held an inch above the ground.

It's dust. Clean it, have it cleaned, or if you mostly show with wider apertures it will not be noticeable. All DSLR's get it. You can reduce how quickly by taking care when changing lenses, but they will will get dusty eventually.

Dust on the lens front or back reduces contrast but generally will never appear as a clear spec on the image (it is so completely out of focus, much as you cannot see a fence with the lens pushed up against it, but the fence color bleeds through). Dots on the image are almost always on the sensor not the lens in any normal situation.