Photoshop :: Converted Raw (or DNG) Will Not Open In ACR

I open a .NEF in Bridge, go into ACR and open the file as a Smart Object in Photoshop.  Double-click the layer icon and I'm back in ACR, just like all the demos and seminars I've watched.  But, take the SAME .NEF in Bridge and open it as a standard image in Photoshop, then CONVERT it to a smart object, double-click the layer icon and all I get is a .psd and NOT jump into ACR.  It does exactly the same thing with a .dng file And from Lightroom OR ACR...
 
I found an entry from a discussion (not in here, I couldn't find anything about this in here) about CS3 (yes 3), where a user had this problem and was told it's because the original image was opened as a rasterized image, NOT as a Smart Object from ACR...  Which isn't making sense to me 'cause who cares what it was way back when, it's NOW a Smart Object and should be treated like one no matter HOW it got there...
 
Is there some preference or setting or something I need to change in Photoshop so this will work as expected is is there really some restriction about exactly HOW the Smart Object got created?  And if so, is there some paragraph is big, bold letters in the documentation that makes it really clear to the uninformed that you MUST open it as a Smart Object or it won't work?
 
And yes, I KNOW that in ACR I can set it so it defaults to opening as a Smart Object, but like many other PS users I normally use Lightroom and I haven't seen any such default.  Which means it's REALLY easy to forget to go down to the Open as Smart Object and instead just hit Open in Photoshop...