I think many exercises are actually better with dumbbells than a bar, because both sides are worked equally, and more stabilizing muscles are called into play.
(I just read in FitnessRX for Women that dumbells bench presses make more attractive chest and front shoulder muscles than do bar presses, but it was a passing comment, with absolutely no justification given.)
I agree that there are challenges using dumbbells for squats and lunges: like where the weight is held for best balance and comfort. When I squat with dumbbells, I prefer holding the dumbbells right in front of my shoulders, like at the top of an extended hammer curl. Holding them to the sides is another option, but it can make one tend to round over. And holding them ON the shoulders is something done in Firm workouts, but that I find rather painful.
Another option: use the dumbbells, and add either a weighted vest or weight belt (
www.ironwear.com has some 5# each ankle weights that can be attached for a 10# weight belt. They also sell weight vests. And the flexible weights fit both.)