Most DJ softare doesn't work off MIDI. Based on how DJ's work(at least the vast majority), MIDI is not necessaary. Of ocurse, we can all see endless triggering options, but that can be done via a second laptop with dedicated hardware. it's the way it SHOULD be done.
Also, another issue you'd not like is that you obviously want to do it all on one box, and MyDMX won't like being run in the background, it must be the foreground application. To work as a DJ, you'd most likely have to stuff MyDMX into the background, and it would then go idle or at least ignore MIDI triggers.