Preventing the back button from cancelling a DialogFragment

How about using setCancelable? Did you try it?

From the Docs:

Control whether the shown Dialog is cancelable. Use this instead of directly calling Dialog.setCancelable(boolean), because DialogFragment needs to change its behavior based on this

For custom DialogFragment

Add isCancelable = false at onCreateDialog

 DialogFragment newFragment = YourFragment.newInstance();
                newFragment.setCancelable(false);
                newFragment.show(fragmentTransaction, "dialog");

Add setCancelable(false) before you .Show() the fragment

I'm not at all sure if this'll work with FragmentDialogs, but if the setCancelable didn't work for you, it might be worth having a look at this article: Android: Prompt user to save changes when Back button is pressed

It explains how to detect the back button being pressed. So maybe you can suppress the button press and it'll stop the dialog from closing?

onCreateDialog vs onCreateView:

Implementations should override this class and implement onCreateView(LayoutInflater, ViewGroup, Bundle) to supply the content of the dialog. Alternatively, they can override onCreateDialog(Bundle) to create an entirely custom dialog, such as an AlertDialog, with its own content.

Important when using onCreateDialog:

Override to build your own custom Dialog container. This is typically used to show an AlertDialog instead of a generic Dialog; when doing so, onCreateView(LayoutInflater, ViewGroup, Bundle) does not need to be implemented since the AlertDialog takes care of its own content.

Example Dialog (In this case an AlertDialog):

public static class MyAlertDialogFragment extends DialogFragment {

    public static MyAlertDialogFragment newInstance(int title) {
        MyAlertDialogFragment frag = new MyAlertDialogFragment();
        Bundle args = new Bundle();
        args.putInt("title", title);
        frag.setArguments(args);
        return frag;
    }

    @Override
    public Dialog onCreateDialog(Bundle savedInstanceState) {
        int title = getArguments().getInt("title");

        return new AlertDialog.Builder(getActivity())
                .setIcon(R.drawable.alert_dialog_icon)
                .setTitle(title)
                .setCanceble(false)
                .setPositiveButton(R.string.alert_dialog_ok,
                    new DialogInterface.OnClickListener() {
                        public void onClick(DialogInterface dialog, int whichButton) {
                            ((FragmentAlertDialog)getActivity()).doPositiveClick();
                        }
                    }
                )
                .setNegativeButton(R.string.alert_dialog_cancel,
                    new DialogInterface.OnClickListener() {
                        public void onClick(DialogInterface dialog, int whichButton) {
                            ((FragmentAlertDialog)getActivity()).doNegativeClick();
                        }
                    }
                )
                .create();
    }
} 

The property setCanceble(boolean) states whether you can exit the Dialog with a back press. No need to catch the KEYCODE_BACK anywhere.