Thanks for the tip, I can confirm that it works. This is what I did:

1. Registered a few domains and changed DNS records to point them to my VPS
2. Added my primary domain to my VPS and the other ones as virtual hosts (you can also use a wildcard subdomain).
3. Install WordPress and enable Multisite with subdomains. (you *can* use the www-prefix if you want)
4. Create new sites and change the site URL as shown on the screenshot in the post.

I added a link to my signature for more detailed instructions.