The title says it all - Vegas cannot read DNxHD MXF's rendered from SONY's own Catalyst Prepare but they can be read just fine in Davinci Resolve 11 Lite. MOV's are a no go due to the known issue of a max of 50 MOV's on the timeline.
DNxHD MXF read/write support will add to the price of Vegas Pro.
I guess when the masses scream for it, it will be addressed.
Premiere Pro already has it.