Is it usual that consumer DVD players will not play standard audio
files?

Yes

Why? The player will happily play various audio files on CD but, unless
I am doing something wrong, not DVD.

Are there modestly priced DVD players which play standard 24/96
audio
files?

The Pioneer 575 will play DVD-Audio and SACD.

This is what I am using.

However - my suggestion would be to use the DVD Video format which
will
handle stereo 24 bit 96kHz material without any compression.

Thanks for the suggestion. I would expect DVD-Video as a format to last
for a while but I am not sure how recognisable it is as an audio file
format. Using weird formats makes the manipulation of the files
awkward.

You might need some slightly more specialised burning
software to create the discs though.

This I want to avoid. At the moment to create DVD-Audio I can use a
couple of commands to create an image of the UDF file system, modify
and install the necessary files, and then burn the image using the
standard burner.