Simon,
I have not played with a DM but I have played with a lot of power supplies, indeed I've been working on one for a record deck over the last few days, I'd love to share details but not on a public forum.
As for DC blockers (you mentioned the DM has one, filtation or DC blocking? I'm not clear which you mean now). The ones I've built and tried myself have highly rated capacitors and diodes for safety (voltage) and performance (low ESR) reasons. I can't imagine a decent DC blocker being able fit inside a wallwart but maybe the DM has some real magic or it's some other type of filtration.
It's important when you look at mains that if you want to generalise about it you check performance not only at different times of the day but also with varied installations. As for talking to my supplier about my mains, well.....it's not that unusual to have all sorts of crap on the mains, and trying to get the data the suppliers super-impose onto our mains removed just isn't going to happen. As we move to Smart Grids and Smart Metering it's only going to get worse.
As you say there are many parts to a power supply, getting them all well spec'd so there is no weak link is worth doing. Diodes, filter cap, regs we agree on I believe. The point I'm making is that generally, if there is no other weak link in the power supply, then you will often benefit from a PTX spec's for tolerance to saturation, it many still only operate at 200mA but it can then better perform with some of the crud the mains pumps into it.
I don't know what the DM wallwart has inside it but these are general principles that can be applied to most hifi equipment. And yes I have played with this stuff, just not with a DM.