LAB[au]: look at this webpage, it claims to wrap dlls as well
Yes, 'the wrap' is capable of wrapping dll's and so is the Terabit packer. What I meant was if you wrap dll's into a single exe, the dll's must be present before execution of your program begins. With the Terabit packer, this isn't possible because the unpacking of the dll's doesn't occur until the program has already started. Looking closer I would suspect 'the wrap' may add its own unpacking sequence to the very beginning of the original exe (hence the name 'the wrap'). I couldn't find any more info about how this works from 'the wrap' website, but if that is what it does then it should work fine as you suggested ;)
Returning to Neomancer's original question, Blitz won't compile the contents of the dll, the exe will only call the dll functions during runtime, as Phil74 mentioned.
Also, if the program does not call any functions from a dll, it will not compile any reference to the dll in the final exe, as Falcon pointed out they will just be ignored. This should be the case even if the dll's decls userlib is loaded at the time of compiling.