We have succesfully converted shp files to be used in SAS/VA with the help of this document.
It does provide a good guideline and points to keep in mind.
Do note that we had to perform certain steps on our compute tier (proc mapimport and proc greduce) since that is where we had these procedures available. Next we had to move the data to the VA server.
So yes it can be done but may need some tweaking on the steps as described in the document