Multiple DDS implementations support 'plugins' that allow a transparent 'replication' of information in DDS to/from a 3rd-party external DBMS system. Typically thats transparent for DDS applications.
Using an external DBMS is in any case optional and since DDS itself also behaves like a (distributed) database (having the notion of 'keys' that can model relationships between topics, and supporting SQL-like queries and content-filters and where PERSISTENCY-QoS allows to really 'persist' information on disks), there might be no need at all to add a DBMS.
Where you see a DBMS being used in the DDS-context is often related to having a logging-capability or injecting persistent-data sets. There are also usecases where this DDS/DBMS coupling is used as a means to replicate DBMS's in real-time (i.e. where DDS is transparently used as the QoS-driven) replication mechanism)