I think this will be a tough one (but I welcome our developers to prove me wrong), since even if I create a custom request body using a hardcoded CDATA segment, the webservice/XML engine will convert that to escaped XML before sending the message.
Just how restricted are you to using CDATA? Do you have any options at all for adapting the other side of the service, or switching to another communication mode? There isn't really any semantic difference between CDATA and escaped XML, so ideally, both should be accepted.
If you really need the ability to send CDATA sections using Mendix, I would suggest filing a feature request.