I do.
DMG is fine windows won't mess it up.
PKG and MPKG must be zipped on a *nix based device (like mac) before putting them on a windows machine or you can put them in a DMG
SH files do loose permissions but the agent gives it execute rights before running a SH file
The other thing to keep in mind when setting up your share is that in the current release of LDMS the mac agent only handles web shares for SWD.