I too would like this feature as a possibility. I have a use case right now where it would be helpful to run a script locally as a step on the PDQ server during automated Windows 10 Upgrades using MDT. Were PDQ able to run "out of band" from the actual deployment, I could monitor MDT progress using ODATA. Where my package fails today is that the powershell script runs on the target device and then MDT reboots it. So, PDQ thinks the package failed. I'm using manual sleep timers to get around this which is not full proof.
I'm considering writing a powershell script that uses ps remoting into the PDQ server to kick off a job but then you lose some of the benefits of running deployments right from within PDQ (I.e. selecting my target devices).