After a little while playing with JR, I get some useful results concerning this topic:
1. With my setting (Twonky DLNA server and Sony DN1080 renderer) JR does not show dsf-files. But you can play those files using your smartphone via "Sony Music Center"-App.
Running JR check the available players on JR and select your renderer (which in my case is the Sony DN1080 amplifier). Now JR displays the dsf-file and you can add the file to your library.
Even after restart of JR the file remains in your library.
2. Cover-art: Some DLNA server handle only 150pt x 150pt resolution thumbnails of the cover arts. You can either add your own picture in the same folder as the corresponding music file and name it folder.jpg or you can edit the ID3v2 metadata of your music file with a tag editor or you simply add a picture from any location from your PC and store it locally in a JR cover art folder (see settings in options).
Because a DLNA library is read only JR wont display the cover arts you manually changed after a restart of JR. But you can select all albums and check Cover Art->Quick find in File and voila.