I don't know that you misunderstood. This is one of my biggest gripes with Dspy as well. I think it takes the "prompt is a parameter" concept a bit too far.
I highly recommend checking out this community plugin from Maxime, it helps "bridge the gap": https://github.com/dspy-community/dspy-template-adapter
Woah, that community plugin looks so much closer to what I initially thought (hoped) Dspy was!