So Dreamcast Collection will install to your HDD (like every other 360 game), but as soon as you select one of the four games, it starts the disk going and plays the game from the disk.  A bit weird?  Didn't expect the games to show up on your profile as individual arcade games either, rather than as Dreamcast Collection. 
 
A well shoddy package.

Konami Classics (the one with Symphony of the Night for like, 10 bucks) was the exact same way. I cared about it when I had my old fat 360 but now that I got a Slim it's a non issue.

did it run the disk the entire time playing the game? It only does so in the begining to check the disk installed in the game in the drive.