HI Besho,
I am a canadian resident and from asia myself. I'm pretty certain there's nothing for you to worry about.
I believe the reason your family was refused visa (tourist visa, i assume) was because a lot of people who hold PR status in canada try to get their family memebers into canada under tourist visa and then try to sponsor them for PR. That's why it's hard to get tourist visa for canada when they know the applicants have family memebers who are already PRs. They want to see that your family have a lot of ties (mostly financial) in their own country so they won't have any reason to try to remain in canada and eventually obtain PR.
Now that you've won the DV lottery, you and your family are being considered for immigration to the u.s., which is entirely different, and totally unrelated to their canada visa application. So i don't think it'll be factored in at all.
Of course, if they were to simply apply for tourist visa for the u.s. it might prove a little difficult cause one of the questions on the u.s. tourist visa application is "have you ever been refused visa by any country?".
Being a canadian PR yourself doesn't preclude you from getting permanent resident status for any other countries either. So you have nothing to worry about for your dv case. I have a friend who is now a canadian citizen and she just got her us green card a year ago. She's holding both and goes back and forth.
Congrats on your win and hope your interview goes smoothly!!!