The docs seem to suggest it's possible and obviously it would be much faster than having to go through the Nokia portal to access a device that's sitting a metre from me on the same WLAN.
Is there anything special you have to do for this to work? My device (5800XM) is 192.168.1.28 on the local WLAN, and can access the portal fine, and my laptop can then access it (excruciatingly slowly) via the portal. However I can't connect to it directly/locally at that local address using either HTTP or HTTPS. As far as I know there are no firewall issues.