The easiest way to prove this is by using an equivalent formulation of $\sf DC_\kappa$. This is much like how it's easier to prove that $\Bbb R$ can be well-ordered by appealing to the well-ordering theorem, rather than the proof using Zorn's lemma or transfinite recursion and a choice function.
Theorem. $\sf DC_\kappa$ holds if and only if whenever $T$ is a $\kappa$-closed tree, then $T$ has a chain of length $\kappa$.
Here $T$ is a tree if it is a partial order with a minimum element, such that for every $t\in T$, the cone $\{s\in T\mid s<t\}$ is well-ordered (in the tree order). We say that $T$ is $\kappa$-closed if whenever $\gamma<\kappa$, and $\{t_\alpha\mid\alpha<\gamma\}$ is a chain in $T$, then there is some $t$ such that $t_\alpha<t$ for all $\alpha<\gamma$.
Proof. Assume $\sf DC_\kappa$ and suppose that $T$ is a $\kappa$-closed tree. Define the relation $R$ on increasing sequences in $T$ of length $\gamma<\kappa$: $s=\{t_\alpha\mid\alpha<\gamma\}\mathrel{R}t$ if $t$ is an upper bound of $s$. If $s$ is not an increasing sequence, we simply define $s\mathrel{R}0_T$, where $0_T$ is the minimum element.
Now let $f$ be a function with domain $\kappa$ given by $\sf DC_\kappa$. By induction, $f(\gamma)$ is an increasing sequence in $T$ for any $\gamma<\kappa$, and therefore $f$ is giving up a sequence of length $\kappa$ in the tree, as wanted.
In the other direction, if $R$ is a relation on $S^{<\kappa}\times S$, we can associate the natural tree $T$, given by increasing sequence in the relation. Since it satisfies the conditions of $\sf DC_\kappa$, this tree is $\kappa$-closed, and so it has a chain of type $\kappa$. Then this chain is $f$ as wanted.
Now it's easy. If $\sf DC_\lambda$ holds, and $\kappa\leq\lambda$, note that every $\kappa$-closed tree without a sequence of length $\kappa$ is also $\lambda$-closed; but if it had a sequence of length $\lambda$, it would have an initial segment of length $\kappa$. That's impossible.