This is expected, the DSS is an alternative to putting the setting into prconfig, it does not cause an entry to be added to prconfig automatically (which I think is what you are expecting).

Is the setting taking effect as expected?  For the system to look for configuration settings in the database (DSS) then the initialization/settingsource setting needs to be set to "Merged" in prconfig.xml (This is the default setting for 6.2).

If you were to specify a setting as both a DSS and in prconfig.xml, then the version in prconfig would take precedence.

Some further notes relating to this can be found in the following guide:

https://pdn.pega.com/documents/configuration-settings-reference-guide-prpc-5x-prpc-62