It is functionality from iDVD (not iMovie) that burned the actual DVD, but iDVD is no longer included/supported/etc. I think since Lion or SL.
One can use Burn as mentioned, but if you're not using any professional editing/authoring software, Toast is pretty straightforward and for me, easier to do quick stuff... some people will disagree and say it's difficult or buggy. It's bundled with a lot of things or one can buy a separate license for $20.