The driver for the Korg products is a little wonky, so ensure it's running properly first, and then you should be OK.
Other than that, yes, it's super easy. Want to assign a fader to a DMX fader? Click it and "learn", move the fader and you're done. Let's say you have 8 64 LED Pros(like I do) and you can also assign the same fader to multiple channels, which is great as I can control all those in a gang quickly and conveniently. Same thing with the knobs.
Want to assign scenes to buttons? Be in the USER page and right mouse click to learn MIDI trigger and there ya go, hit that button and you've learned it. Only "gotcha" is to pay attention to which bank you're on.
I like to use the knobs for the X coordinates, and the fader for Y when working with moving head fixtures. This way I can have both those things in one convenient place. Just as easy to assign.
I can't see any reason to not use the Behringer BCF2000, but I personally wouldn't because I have something else. Just depends what you want to use. I think Jingles had one of those to mess with for a while and he said it worked fine with MyDMX.