The last release (beta 3) was tested with FastRTPS, Connext, and OpenSplice and our test suite already performs cross vendor testing between all available rmw implementation. So in general: yes it works.
Recent changes on the master branches broke OpenSplice support (see rmw_opensplice#217) but that is something we will hopefully be able to resolve soon.
I can’t speak for CoreDX since we don’t test with it on our CI system.
In general you must use the same ROD_DOMAIN_ID / DDS domain id in order for participants to talk to each other. The rmw implementations already take care about other configuration settings (e.g. enable loopback and not only used vendor-specific shared memory).