Ok, problem solved. It appears Photo Mechanic does not support external XMP sidecar files for DNGs, even though if DNGs are locked (read-only).

Here's what's happening, these are the "original" files, after I have processed them in ACR:

horizon:2$ ls -lO 
total 117568
-rw-r--r--  1 aram  staff  uchg 59453466 Aug 11 18:43 image.dng
-rw-r--r--@ 1 aram  staff  -        8813 Aug 16 17:50 image.xmp
horizon:2$ 
horizon:2$ 
horizon:2$ sha1sum image.dng 
feba47d8cdd3c94971ffd8bd605de87c86218a61    image.dng

Notice how the XMP file is newer than the DNG file, and how the DNG file is locked (uchg flag).

I make a copy of the XMP file for further investigation:

horizon:2$ cp image.xmp old.xmp

Then I star the file in Photo Mechanic, and check the XMP file again:

horizon:2$ diff -u old.xmp image.xmp 
horizon:2$

No change! But wait:

horizon:2$ ls -lO image.dng 
-rw-r--r--  1 aram  staff  uchg 59453466 Aug 22 14:49 image.dng
horizon:2$ sha1sum image.dng 
2b5597257a4b3693154331fc9a44efac3a926b6f    image.dng

The DNG file is changed! I find this very surprising since the file was supposed to be read-only!

After seeing this, the observed behavior makes sense, Photo Mechanic overwrites the DNG file, making it newer than the XMP, so ACR is ignoring it. However, I still think it should perform differently.

At the very least Photo Mechanic should not overwrite read-only files without warning. Also, I think adding an external XMP sidecar option for DNG files would be very useful as explained here in this feature request thread: http://forums.camerabits.com/index.php?topic=11515.0