I was able to get lvm snapshots working.
I tested it with ovzkernel-2.6.8-022stab070.1.src.rpm, changed one line in the enterprise config (CONFIG_DM_SNAPSHOT=y), and rebuilt.
rpm -ivh ovzkernel-2.6.8-022stab070.1.src.rpm
# make changes to config - set CONFIG_DM_SNAPSHOT=y
vim /usr/src/redhat/SOURCES/kernel-2.6.8-022stab070-i686-enterprise.config.ovz
rpmbuild -bb --target=i686 /usr/src/redhat/SPECS/kernel-ovz.spec
# wait a little while
rpm -ivh /usr/src/redhat/RPMS/i686/ovzkernel-enterprise-2.6.8-022stab070.1.i686.rpm
reboot
Snapshots seem to be working fine with the new build.
# lvcreate -s -l 20 -n snap_vz vg_sys/vz
Logical volume "snap_vz" created
# lvremove -f vg_sys/snap_vz
Logical volume "snap_vz" successfully removed
Hope this helps.
--Andy