NServiceBus distributor and the use of DTC in NServiceBus don't have anything to do with one another. DTC will be used by NServiceBus whether you're using the distributor or not.
NSB distributor workers (and even the individual worker threads on a single box when the NSB distributor isn't used) don't enlist one another in distributed transactions. Let me reiterate, you will never see two NSB worker threads in a single DTC transaction. Each worker thread starts a transaction against a local queue and then adds a (likely remote) database to the transaction (which makes it distributed)
There's a nice illustration of the concept here
I don't think you're missing any big pitfalls. I'd just decouple the two concepts, NSB distributor and how distributed transactions are used by NSB