SEA (self extracting archives) , I am pretty sure, have two file forks and all non mac OSses destroy the shorter file fork. In your case the resource fork. This destroys password protected stuffit files also. Stuffit put the password in a second file (a resource fork file) that windows will strip off. Yes... stuffit was written by retarded people.
As for DMG on OS9, a R-W capable, non compressed, non-encrypted DMG not containing multiple partitions or any partition table info, containing a HFS volume or HFS+ volume, CAN be mounted in OS9 if the mounting tool skips the preamble section. I think this section ends on a 512 byte boundary to allow read-writes to be on proper 512 byte block boundaries.
No one outside Apple ever wrote a tool to do so, but I think someone might have.
http://en.wikipedia.org/wiki/Apple_Disk_Image
Currently, the only way to open a DMG in Mac OS 9 is to use the developer version of Apple's Disk Copy (version 6.4), or a beta version of the unreleased 6.5 Apple's Disk Copy
If you cannot locate this, I can write you a tool. I have written private OS9 tools that mount a lot of different types of highly fragmented files. (Many mounting tools cannot mount files with more than 3 file fragment spans)