If I understand you correctly, if you use WebDav to copy the files to DMX folders, the permissions on those files are going to be the DMX security role permissions you set on the DMX folders, not NTFS file permissions from the source.
Of course, there are NTFS permsions applied to the files wherever they are stored, but assuming DMX is working properly, it is DMX that controls access to the files based on the security roles of the DNN user logged in.
Hope that helps.
Rob Ralston