Is FinancialData using a different data source/API from the EntityValue call?

Most Likely.

Entities are kind of a programmatic way of using Wolfram|Alpha's knowledge base. So you might find it useful to see what kinds of sources Wolfram|Alpha uses for financial data. There's a sources button at the bottom of this page:

http://www.wolframalpha.com/input/?i=%5EDJI+latest+trade&a=C.%5EDJI-_Financial-

FinancialData on the other hand uses Yahoo Finance's API for much of its data. Including this case. Historical "^DJI" data was removed from Yahoo Finance's API for some reason. You should note that Historical ^DJI data is different from "latest trade". I don't think the yahoo API stoped serving the current price of ^DJI data.

Getting good reliable financial data is much harder than many people think. This is why people pay for a subscription to services like Bloomberg or Reuters for this data. If you have such a subscription, the Wolfram Finance Platform would be useful for working with that data