It depends on what your definition of “the DAO” is. If you operate under the definition that it is token holders, then yes, the ApeCoin DAO has already created a gnosis multisig with DAO members as signers as a part of AIP-98:
Additionally, newly formed working groups are capable of choosing their own legal structure, in their own jurisdictions and receive grants from the Caymans Foundation, or even income from other sources. These entities would need to pay taxes in that jurisdiction of course.