I found a way to get a Direct Dial shortcut using the free app Folder Organizer Lite. Long press the homescreen (or setup in Launcher Pro Dock) and select Shortcut, Folder Organizer Item, Direct Call, choose from your contact list.
But now, I noticed that I can't choose a Folder Organizer Label (folder) from the Shortcut menu on the Droid X. This phone is pretty messed up... I returned the Fascinate because Samsung/Verizon messed the OS up and introduced bugs in the process, now it seems the X isn't much better with Verizon/Motorola and Blur.
Edit: NVM about the missing Folder Organizer Label shortcut option. It is there, only it's called Folder Organizer Folder Link now...