I've put DPX, DNG and Avid DNxHD files onto the Vegas T/L, nothing broke.
That said the DPX files which were Cineon did not come out in Vegas anything like they did in After Effects. Vegas really has no tools to assist in working with this kind of material. In theory you should be able to get there but I'd feel far more comfortable with tools that understood the source material rather than relying on me to take guesses.

Bob.