MC5 has additional AMA capabilities. This means that you can open and edit with ProRes QT files (or any other QT file, or even Red files) through Avid Media Access.
This is different from importing, and it is instant.
You don’t have to transcode to DNxHD, but you can. For anything longform, I think a transcode would be recommendable. You will need a powerful system to work with AMA files, as they put more strain on the system than regular Avid media do.
Beware: you cannot create ProRes files in MC.