From what I've seen, most people grade for Rec 709, right?
Depends how you define ‘most people’.
REC709 is a colour space that the majority of consumer displays use to display images. When you capture images in REC709, or grade them for display in REC709, you’re grading them for display on a standard consumer monitor (REC709 is often used for traditional television broadcasting as well).
REC709 is just one of a number of colour spaces that have developed.
REC2020 defines a colour space for Wide Colour Gamut viewing, which the vast majority of current UHD HDR TVs support.
REC2100 defines a colour space for HDR viewing. REC2100 is very new, and few consumer displays currently support it.
The colour space for a DCP is XYZ which defines all sorts of colours, even those outside of the range of human vision. REC709 values are available in XYZ, so you can translate a REC709 grade to an XYZ DCP fairly easily.
It gets a bit more complicated, but usually DCPs are graded and projected in DCI-P3, which sits inside the XYZ colour space ‘container’, so the majority of DCPs are going to be DCI-P3. However, you won’t be able to grade P3 unless you have a P3 monitor.
That said, if you tell your DCP converter the correct colour space (and it’s a decent converter), you should be fine.
The hard part with a DCP is that you can’t usually test it until you’re in a cinema. For that reason, I usually recommend a professional service. Doing it yourself is fine if you understand it, but if you don’t you can run into problems, and unfortunately due to the nature of it, you don’t find out until you’re sitting in a screening that looks too pink.
Is that because I chose to grade in a different format than the DCP converter was set for?
If you told the converter your source material is in, say, REC709 when it isn’t, that could cause you some issues.
say I record in Pro Res, Arri camera... Would I take that footage and use a REC 709 LUT to get a better idea of how it will look on a projector as I grade it?
You can record straight REC709 ProRes on an Arri.
What source file are you starting with? A Log-C ProRes? How are you grading it?