I don't think that would work, sadly. The problem is that the protections aren't in the connection at all - they're in the XAP. Unless we can add the Marketplace DRM singature to a homebrew app, there's no point in sending such a XAP to a non-dev-unlocked phone. Even if the phone installed that app, it would refuse to run it because the app wouldn't be signed.
Mind you, I don't know if anybody has tried to add Marketplace DRM to a XP before. However, if it's implemented at all competently, this will be essentially impossible (specifically, it'll require a private key that we don't have).