If you execute instructions such as
\renewcommand\thesection{\arabic{section}.}
not only will the headers of Lemma
and dl
environments look wrong because of the spurious extra period (aka "full stop"), but cross-references to section, subsection, and subsubsection level headers will also feature a spurious period.
I therefore suggest you employ a different solution method, which is shown in the code below.

With this approach, you also needn't redefine \theLemma
, \thedl
, etc.
\documentclass{report}
\usepackage[vietnamese]{babel}
% Method proposed in "The LaTeX Companion", 2nd ed.:
\makeatletter
\def\@seccntformat#1{\@ifundefined{#1@cntformat}%
{\csname the#1\endcsname\space}% default
{\csname #1@cntformat\endcsname}}% enable individual control
\newcommand\section@cntformat{\thesection.\space} % section
\newcommand\subsection@cntformat{\thesubsection.\space} % subsection
\newcommand\subsubsection@cntformat{\thesubsubsection.\space} % subsection
\makeatother
\usepackage[thmmarks]{ntheorem}
\newtheorem{Lemma}{Lemma}[section]
\newtheorem{dl}[Lemma]{Định lý}
\begin{document}
\chapter{Hello}
\section{World}
\begin{Lemma} Bla bla bla \end{Lemma}
\begin{dl} Bla bla bla \end{dl}
\end{document}