I've been successful at using myDMX to make a light show that is driven by my sequencing software.
Let me address the issues you mention:
1) You can use a MIDI yoke or other program to create a virtual MIDI cable between you programs; if that doesn't work, just send MIDI signals out from your MIDI soundcard to a MIDI USB in connected to your computer. The physical loop works just fine.
2) There won't be any pre-assigned actions with midi CCs because the actions are dependent on the kind of physical lighting you have. Programming the scenes isn't so hard after you've learned it, and you can make some really great original lighting effects this way.
3) Not a problem if you can program the scenes. One suggestion would be to make the conversion between bpm and milleseconds so that you can time your programs to correspond to the bpm in your song.
4, 5, and 6) True. But, you can create your own playlist and change them from your computer keyboard. I do it in my live show using keyboards strokes (escape twice, control O, a number for the file, down arrow, and enter - this will load the file you designate by the number). It takes 5 seconds. I wish MyDMX would make a proper playlist that could be changed with a MIDI program change command, however.
7) All you need to do is make the conversion between bpm and milleseconds (divide the bpm into 60 seconds to get the number of seconds per beat - multiply by 100 to get the milleseconds). My dmx allows programming events in 4 millesecond increments, so you can match with your tempo this way.
8)OK, I admit it would be cool to have myDMX detect the bpm of your host sequencer then have the program increments displayed as quarter, eigth, or sixteenth notes....
9)128 scenes has been enough for each of my 4 minute songs.
11)They have been very helpful, but a bit more understanding of how musicians want to use DMX would be helpful.
12)I've been successful with MyDMX, so I don't think more expensive software is the key.
13)My light show is pretty cool, even with all of the constraints, I've been able to work with MyDMX.