I don't know of anything that converts .mdx into something that DAZ can read outright.  There are converters that will let you take the files into certain versions of 3DSMax, but I wouldn't pay a ton of money for a program just to take a figure from a Blizzard game to render it in DAZ Studio, personally.

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Knowledge is knowing a tomato is a fruit. Wisdom is not putting it into a fruit salad.