On 3.10OE-A', can u just run those files or do you still need the DAX loader?

You will still need the DAX loader.

u know theres apps that can convert them to iso then if u want cso

Such as this one: http://www.psp-hacks.com/file/900

Yeah DAX files are not supported yet but you could use cso or iso..

I know I can convert them, but .iso's and .cso's take up more space than dax files.
you would think this would be a built in feature to the custom firmware

It read something by Dark_Alex a while ago that he thinks DAX files, while they have good compression, are too slow and that CSO was a better format. He must have decided that it would not be worthwile to include it in his custom firmware.