I don't think you're doing anything wrong.

I've compiled my own Allegro 4.2.3 from the sources at allegro.cc and my dat.exe is giving the same errors when I try to do the same thing. I think perhaps at some point very late in the 4.x series the dat file code in DATEDIT.C stopped working, without it being tested. I've tried it in both dosbox and virtualbox with freedos.

Maybe you can try an earlier Allegro 4.x and see if their dat handling works. Alternatively, you'd compile a debug build of dat.exe and try to step through and see where the problem is.

One year too late, but I spent a week compiling every DOS version of allegro trying to create DAT files that would work in DOS, nearly losing my marbles. Turns out, DAT files created with the Windows version of Grabber.exe will work with DOS compiled Allegro executables! Link below contains a precompiled Windows version of Grabber.exe, and works flawlessly in Windows 10. Note, I didn't confirm if Dat.exe worked. I tested this with Allegro 4.2.3.

http://www.allegro.cc/files/4.2.1-RC1/allegro-misc-4.2.1.zip