Why not? I think it makes even more sense to use MS on DVDs than on CDs because of higher capacity. If I do a data backup that requires 430 MB on the DVD then why would I want not to use MS later on and waste the 90% of the space left?
Nero Express warns that MS DVDs may not be readable (actually the additional sessions) in some old DVD-ROM drives and on systems prior to XP. I've had a case of this some time ago - I lent a DVD to a friend of mine and she says that the movie she wanted to watch (an avi file) is not there and it turned out I had written it in another session. She has XP though but probably an older DVD drive - actually it's a CD/DVD combo so it's not ancient, but still no luck at reading MS DVD.