The docs say no:
BUT the Arnold ROP has the option in the baking tab, so I have a glimmer of hope.
While baking to a normal uv set works just fine, I haven't been able to get udims to work.
If it is supported, what is the udim syntax for the file path in the output tab? I've tried <udim>, <UDIM>, and %(UDIM)d, to no avail.