The Changelings don't seem to think so judging by this quote by the Female Changeling. I have no reason to assume the Female is lying to Odo.
"We prefer the Link. But occasionally, it can be interesting
to exist as something else -- a tree perhaps, or a cloud
in the sky."
This is a good point, even though I don't see why we shouldn't assume that a Founder is always lying - especially when making a sales pitch to one not assuredly of their own.
But what does it mean when a Founder becomes a cloud? Does every molecule in her body turn into H2O (or OH- and H3O) that will then float in random patterns, and gradually dissipate? Or does the Founder merely create the impression of a cloud, while still retaining enough of a physical body that its analogue for a nervous system can record and enjoy the experience of imitating a cloud?
Even with the above dialogue, the latter might still be a possibility. Thinking of Changelings as skilled conjurers is easier on the poor brain than thinking of them as fundamentally aphysical beings that merely shape random molecules into puppets that they then animate. After all, physicality has always been important to Odo, and seemed to be so to the experienced adult Founder who ran the war, too. The physical body of a Changeling can be poisoned, like in "The Alternate"; blown to bits, like in "Through the Looking Glass" or "Apocalypse Rising"; or catch a nasty disease. The result is always devastating for the Changeling, and not at all expected if the critter were in fact an aphysical being that only operates physical matter at its leisure.
I suspect the Borg would want to assimilate them and retain the shape shifting ability, a shape shifting drone would be a formiddable asset for the collective.
On the other hand, the Borg seek to spread the perfection they have attained, to donate it to the rest of the universe. Or at least this is what they chant when they go on an assimilation spree. Sooner or later, they would wish to spread the bliss of Collective existence to the Founders as well, even if they gained nothing from it.
On the third hand (which would pose no problem for either the Borg or the Founders), the Borg are also involved in traditional power games. If they decided to intensify their work in the Gamma Quadrant, where the Dominion apparently is a noticeable element, they might see it fit to subjugate the Founders. And learning to assimilate their bodies would be very helpful in that, and thus possibly a priority. The Collective might evolve the ability relatively soon, the rate things are going - it would be good practice for defeating future foes akin to Species 8472.
Timo Saloniemi