It depends which version of CatDV you're using, what metadata fields you want to set, and what format you're exporting to. You can set basic metadata fields such as title, author or copyright if you export a flattened or reference movie.
CatDV can inject metadata into P2 clips so that you can read that data into the next system that imports it.
Most people send metadata to another system as an XML sidecar file. This is particularly common between MAM systems. Usually data doesn't live "in" the wrapper.
If you need to inject metadata into another type file, (into the QT metadata for example, or WMV or EXIF data) you have to use outside tools.
The North Shore crew is currently scripting a few different versions of this to offer it as a service, depending on your format. But we're taking our time so that they are deployable in a solid, reliable way. But we expect to be able to do QT, WMV and JPG via EXIF.
Or, if you're handy and want to DIY, there are tools online to do this.
Note that each format or wrapper has varying amounts of metadata that can be injected. EXIF has virtually unlimited slots, whereas QT & WMV have only a few.