First, I couldn't find a definitive answer. The language can be read either way and has been the subject of heated debate. So don't expect an answer, just expect the worst.
Nurgle's Rot / Aura of Decay is just one example where this may occur. Scattering blast templates are another.
The debate centers on whether models Locked in Combat technically count as Fighting in Assault when it is not the Assault phase, complicated by GW's unclear use of the English language.
The fluff as I understand it is that Dodge is an assault ability and reflects the Dark Eldar's unnaturally awesome hand-to-hand close-combat prowess. Therefore, my take is that Dark Eldar should *not* get the invulnerable save against Shooting attacks while locked in combat. If they could dodge shots like that, they'd run around with the invulnerable save all the time. But they can't, so they don't.
Now the flip side could say, "But DE are teh awesome! They can hold the enemy as a shield, or they can hide behind a pile of dead bards!" Yeah, cheese on.
And I totally reserve the right to edit this.