I would say it is not worth trying, as it runs counter to the principle goal of 2.0 CMP, which is to allow Entity development against an abstract schema.
With EJB 2.0, the Container has the responsiblities of the DAO, which allows your Entity beans to work with different databases and relational schemas without modification. Nirvana!
The problem with value object is that from DB point of view, value objects is just a blob (of serialized java object), so you cannot store in a relational fashion (e.g. you can save, but you cannot do db query or finder method using value object).
Finally, note that DAO and value object are 2 different things. DAO handles database access while value object represents data in non-relational fashion.