Adding existing DCPs to a DCP-o-matic film is a little different to adding other types of content. Most content has to be converted to JPEG2000 (the compression scheme used by DCPs) which is a very time-consuming process. Existing DCPs are already in JPEG2000 format so do not require conversion. This means that, provided no settings such as crop are used on the DCP content, picture and sound data will be passed from existing to new DCP unaltered.
Encrypted DCPs that are added as content will require a KDM targeted at DCP-o-matic so that DCP-o-matic can decrypt them. You should ask the creator of the imported DCP to provide a KDM for DCP-o-matic's decryption certificate, which can be obtained by clicking Export DCP decryption certificate... from the Keys tab of the Preferences dialog (see the section called “Keys”).