Well, a Surface Pro 4 runs Windows 10 and it has a USB 3 port. So I'd say it can use any USB DVD-device for data. If you have heard otherwise, ask the ones who told you why they think it doesn't work.
If you take your laptop with you to the shop, I'm sure they will be able to show you it works. That's normal pre-sales service.
I recycled my old computers with DVD drive , bought Surface pro 4 , I must go to old data stored on cd's and dvd's , I heard that not all z portable DVD players work with Surfaces , so PLS help me for z right one I can buy , as soon as possible .