The main reason for doing this is to attempt to move the displayed histogram closer to the RAW data saved in the CR2 file. Unfortunately Canon doesn't provide the option to display a histogram based on the RAW data, which many more advanced photographers would like to see. The histogram shown on the camera is based on the fully processed JPEG based on the in camera settings, even if you only record in RAW. This difference is probably not much if you are using DPP, since from what I have seen it is still not very good at dealing with highlights.
Many other RAW converters seem to have algorithms that will work with the images highlight details in a much better way. So pixels that in the Canon conversion that have clipped will prove to actually have detail in them, when processed in a different program. If you add using ETTR, Expose To The Right, to attempt to maximise the Dynamic Range of the sensor, something that again DPP is not the best at doing, this is why you might need to see a close approximation to the RAW data. Of course it does have the disadvantage that you can no longer check critical focus using the camera's screen, or use the out of camera JPEG directly. Sometimes I will go the full way and also use what they call UniWhiBal. This WB setting sets the WB up so that all of the colour multipliers for the four sensor filter streams, Red, Green, Green, Blue, are set to 1. The big disadvantage of this is that because in camera there are actually as many green pixels, as there are red and blue combined the image ends up looking green in the preview/JPEG. You can set the Uni WhiBal by simply making a very over exposed image, so that all the pixels are saturated. If you then ignore the warnings and use this for a custom WB you will get Uni WhiBal.
I use Lr, and since I started with a Canon DSLR that predated DPP, I never used the previous Canon RAW option. I now run with Faithful Picture Style, with the other controls at -4, 0, 0, -4. When I import them to Lr without adding any sharpening my Lr previews are now sharper and more saturated than the camera preview. Usually this is the other way around, and is often commented/queried about by new Lr users, as Lr initially uses the camera preview until it can build it's own. As it builds it's previews you see them change over.
If you are not shooting ETTR, or otherwise really worried about pushing the limits of the sensors highlights I would not worry about this. You will probably lose close to a stop of highlight detail if you look at the RAW data, and then process in a converter that is good at making use of it. At the moment that doesn't seem to be a problem for you, and you are using DPP anyway, so go with in camera processing that will get you a close to useable JPEG so that you can convert in camera and use straight away via WiFi. Remember that when the camera writes the CR2 file it is still writing all of the unprocessed RAW sensor data to the file for you to be able to process later, regardless of what the preview image looks like. For example if you shoot using the monochrome picture style, then open the image in any converter but DPP you will see a colour image. It is only because DPP is able to use the same algorithms that the cameras use that you see the camera's processing as the default conversion in DPP. You can still change all of that later, including the picture style.
So at the moment don't worry or overthink. Use your normal settings, that will produce a nice out of camera JPEG, and use those. As long as you are saving CR2 files you have all the sensor data, and can still use that in other converters later, you just might not have quite so much highlight detail still waiting to be utilised. At least you shouldn't have to worry about overexposure this way, the overexposure highlight alert blinkies will show up early not late for you.
Alan