There's not great syntax for this yet. I actually ran into it today, so I'll probably add better support for it soon. In the meantime, DenseMatrix(array1, array2, array3) works. So:
val listOfLists : List[List[Int]] = ???
DenseMatrix(listOfLists.map(_.toArray):_*)
Not the prettiest, but I'll add better support if you open a ticket.