This means adding support for;
- nginx's X-Accel-Redirect (ref http://wiki.nginx.org/X-accel)
- the Apache module mod_xsendfile
- lighttpd's x-sendfile version.
Requires a code edit, or a custom autoloader.
These are advanced features, which allow php to-do authentication and then delegate to the webserver to actually serve the file.
Would I don't expect XF to implement all those features in core, it would be nice to be able to implement them via an addon simply by hooking the XenForo_FileOutput class by event listeners in the usual way.