Right, but remember that the DNI isn't the brain or nervous system - it's an interface, a piece of technology. The purpose of it is to sit between the subjects brain/CNS and their ware/gear, and allow information from one to be processed by the other.
In addition to wireless functionality, most cyberware devices are equipped with a direct neural interface (DNI) that
allows the user to mentally activate and control their functions. They can also be linked to other cyberware implants.
The way I read it, each Direct Neural Interface is a separate connection to the brain, not a single unit that all DNI devices run through. In the case of a cyberlimb, the connection would likely terminate at the end of the remaining natural nerves (because there's no reason not to). Datajacks usually connect directly to the nervous system wherever they are located, with different locations being better for different uses (in previous versions, riggers put them on the back of their neck for better sensory control, and deckers put them on their forehead to connect to the frontal lobe's raw processing power).
Direct Neural Interface (DNI): A connection between the brain’s neural impulses and a computer system, allowing a user to mentally interact with and control that system. DNI is conveyed by an implanted commlink, an implanted sim module, a datajack, or worn trodes.
There is a computer in a cyberlimb. That computer is translating the DNI signals into data that the servos and motors and such in the limb can understand, and vice versa with the feedback from the touch sensors and things in the limb. It is filling the role of an implanted commlink, just a very specialized one.
I agree that the idea of connecting to a DNI device from another DNI device seems...wrong. Maybe if they're bothe external, and connecting through the same DNI connection (both plugged into the same datajack, running off the same trodenet, etc) that would work, but the whole point of DNI is that the brain can't process or transmit raw computer data that way, so unless they're connected somewhere on the 'ware side or sharing the same connection, it really shouldn't work.