So this is fundamentally incorrect. DR is a function of the sensor and not the bit depth of the ADC.

Here's a link to PhotonstoPhotos: https://www.photonstophotos.net/Charts/PDR.htm#Nikon%20D850_12(12RawM),Nikon%20D850(14)

You can see there that the DR range for a D850 is fundamentally unchanged between 14 and 12 bit. Certainly there is no lost 2 stops due to the bit depth change.

Think of it this way: You have two staircases between two floors. They both span the same total distance (DR determined by the sensor). One staircase has more stairs closer together (14 bit) the other staircase has fewer stairs farther apart (12 bit). You're spanning the same distance with both staircases (sensor DR determined) and you'll see that's the case with the D850 in either 12 or 14 bit. The 14 bit version encodes the data more discreetly while the 12 bit version encodes the data less discreetly. What we don't do is saw of the bottom of the 12 bit staircase.

There are of course consequences to less steps farther apart in the 12 bit version and you can expect that less data will produce a negative result. However it's not at all correct to say that the bottom two stops in the 14 bit version simply don't exist in the 12 bit version.

Or are noise and DR both affected by something else?

We know that DR drops as ISO is increased. Both DxO and Photons to Photons show this graphically. They just don't show the same DR values.

We also know that noise becomes more visible when we increase the ISO. But that's because we can use less exposure when we use higher ISO values.

To answer the original question I did an experiment using a Nikon Z7. I recorded the same low light scene at ISO 6400 by setting the raw bit depth to 12 and 14. This would produce some visible noise and two different raw dynamic ranges. Both images used the same aperture, shutter speed and white balance.

The 12-bit capture loses two stops of potential shadow recovery when compared to the 14-bit capture. It also calls for more careful exposure - to the right (ETTR).

The two images will appear in my next post. Both images were created in Capture One 23 with all settings at their default values. They are saved at 24MP (6000x4000) so they can be compared to other 24MP results.

If noise were driven by DR then we should also see a noticeable increase in noise. That did not happen.