File this under rumor, but a reasonable one.
The Lumia 800 lacks a lot of things: front facing camera, gyroscope and DLNA support. That latter one though is something that can be added after the fact as we've seen Samsung and HTC do in the past. In that regard, there's no solid reason we know of why the Lumia 800 can't do DLNA if Nokia did some fiddling with the system files.
Over at MobileTechWorld, they did some sleuthing around the ROM and found some files that look necessary for DLNA support in the future. Italian Windows Phone site Plaffo then posted an email from one of their readers that came from Nokia Care. In that email, they basically confirm that Lumia 800 will get DLNA support like other Windows Phone devices, via the Marketplace.
Now word of caution: Customer care is hardly every a reliable source but Nokia rushing some DLNA support via a Marketplace app is the same method that the other OEMs use, so why not? We'll just have to wait and see.