Well congratulations on first post in this group :-)
Now onto the actual question.
I believe the OGR provider was built with default settings, which
means some formats, although supported by OGR, their support was not
compiled in.
You can take a look at the supported formats here.
http://www.gdal.org/ogr/ogr_formats.html
It says Microstation DGNs are supported, but looking at the detailed
notes, it says that only pre-8.0 DGNs are supported.
http://www.gdal.org/ogr/drv_dgn.html
- Jackie