Using dynamic categorical features in NN models

GluonTS allows to work with dynamic categorical features, but there is no way to use them in most of the NN models (e.g. DeepAR, Transformer, etc.)

They can be incorporated by applying embeddings and concatenating them with other dynamic features. Does it make sense to modify DeepAR and other models with this change, or is it better to stick with the current implementation and to write new model implementations that will use dynamic categorical features?