From looking at notes for the upcoming OSX version (the one after OSX Lion), it appears that all DMGs/installers need to be signed, even if not distributed via the Mac App store
It's super easy:
CODESIGN_IDENTITY='Name of Code Sign Cert' # Found in Keychain Access codesign -s "$CODESIGN_IDENTITY" -v path/to/YourApp.app
Then on the dmg:
codesign -s "$CODESIGN_IDENTITY" -v path/to/YourApp.dmg
This even works on read-only DMGs like UDZO.