Don't want to hijack this threat but I got the same problem.
Running WSRV2008 x86 + IIS7 with FTP and WEBDAV installed
When I add webdav to the default website I can use
net use * http://localhost internally
and connect externally via the internet by IP.
When I try to connect to a webdav enabled site with hostheaders it doesn't run locally nor external.
The only weird thing I noticed was that when I added a virtual dir. with a share it started asking for credentials. So somehow it reaches the site. without the share it errors out with a not found message (error 67).
Hope that the orginal poster can verify this too and someone can help us out.