BatchDPG should work with Moonshell 2, as I see it referenced in the FAQ thread.
mkvmerge is a tool included with the MKVtoolnix set, which should also include mkvextract. MKVExtractGUI just makes the process much easier, especially if one is unfamiliar with using command-line utilities. AVI-Mux GUI should work for extracting streams from MKV files too, if for some reason you have troubles.
Another option you have is using AVISynth in conjunction with the proper DirectShow filters. This would only work if the Moonshell 2 DPG converter supports AVS files as a source.
What you would need as prerequisites is having AVISynth installed and all of the codecs/splitters/etc required for proper playback. Basically, this would just come down to installing AVISynth and the Combined Community Codec Pack. You would have to configure the filters in such a way that the files play perfectly in Windows Media Player (set default language selection for audio and subs).
After that you make a text file with the following:
DirectShowSource("c:\anime\weeaboo.mkv")
Save that as a file with a .avs extension. Opening that file, you should find that the video stream matches that of what you would find playing the MKV file directly in Windows Media Player, and is ready to neatly transcode to DPG.
There are probably other frameserving solutions you can use as well, so you can transcode to DPG on-the-fly instead of an intermediate format (likely with loss).
Really though, having to go through all this hassle is why I mentioned extracting the subs and using BatchDPG, because it's the easiest solution I can think of. Give it a try.