I think you could have burned them as 'data discs' instead of UDF… isn't UDF just aimed to DVD movies?, maybe the Mac OS is expecting a 'real' DVD Video disc and is not able to see the files there…
I don't know about burn options on windows, but Toast can let you burn the DVD media as 'data'… I guess that would do it.
Let me add a similar issue a friend currently has… this friend has toasted several DVDs created with iDVD, those DVD discs work perfectly with several Macs and with every dvd set box he has tried so far… but they are unplayable on any windows xp computer… Does anyone know if XP comes with some nasty feature preventing such DVDs being reproduced? :-/