I haven't tried a slide show from iPhoto yet, but here's a guess until someone who ACTUALLY KNOWS WHAT THEY'RE TALKING ABOUT replies...
<grin>
It would seem to me that the slide show on your CD was from iPhoto, and it put the cross disolves into the production of the CD. Now when you export the show to iMovie, iMovie is only seeing the raw photos. You can easily add cross dissolves within iMovie, and then export this "movie" to iDVD. This should work. (Time consuming, but easy.)
As I said in the first paragraph, this is a guess as to why iMovie isn't seeing the cross disolves from iPhoto.