It doesn't dissolve or lose its effectiveness, really. Eventually it will wash off the plant and down into the soil, but I would think one application should take care of the next generation nicely as well.
Mealybugs are 'crawlers' when they're younger which makes them even more susceptible to the abrasive action of the DE. Be sure to dust the lower stems of the plants, as well as the soil surface, and leaf axils.
I am suffering with you, btw, just discovered a plague of mealies on one of my orchids, so the DE is in use here today, too.
