Protecting Downloads from an External URL

This quote from the Membership plugin page:

Protecting downloads
Media files and other content which can be uploaded to WordPress using the media upload area can be protected by the membership plugin.

Is it possible to host the files on an external domain or subdomain, or do they have to reside in the same area as the membership plugin is located?

We have an exclusive asset management area of our site that serves all images and media network-wide. Ideally, we can access this via source and link url in the WP Media Gallery.

thanks for any help.