Hi Vura,
DBXL works fine with InfoPath 2010, we have had customers using InfoPath 2010 Beta and RC1 with DBXL since Microsoft released these builds last summer.
If DBXL and SharePoint are on a different machine Query SharePoint will still work. Depending upon your environment there may be some authentication changes you need to make (such as using SSO or Kerberos) but it does work.
Ted