Okay, I still haven't figured out why these .dop files exist since AFAIK, they haven't been touched by DxO.
But I did confirm the file reported as missing does exist. After the move and clearing the error, the .raf and .xmp files were moved and the .dop file was left behind.
On the next file, I deleted the .dop file before moving it with no error, so DxO was not looking for it.
Finally, I closed DxO before the next move. No error and the .dop file got moved.
So, it seems to me this lies with DxO, but wanted to give you an update.