Jose', did you ever figure this out? We have just started to try this ourselves (using Webdav so we can run mini-sites (Captivate files).
Needs:
Easy one place location where we can update non-SCORM Captivate tutorials (mini-sites). I tested Moodle's own file picker for how well it could handle an updated zip file and got the JSN string error that others are stuck on). Plus, we would have to remember what location is the real root file via aliases so that it wouldn't break courses if the activity the original one was in were deleted. Maybe I am misunderstanding how it all works in Moodle 2.9?
I tried File Repository method thinking it would behave like a normal CMS type of file system using FTP, but I cannot seem to get a real url to link to. When I try to link to it via the File Picker I get file cannot be found because it doesn't seem to be able to get to the next file in the mini-site after the one I select to link to. Moodle connects fine to images or single file resources, so I know it is configured correctly.
Any help by anyone is much appreciated. The WebDav gives me hope, but seeing that you tried this route and it too hit a roadblock is discouraging.