Welcome to the forums.
I have gone on with this topic many many MANY times.
1: While my experience is now wiht Cubase, the issue is irrelevant to the SPECIFIC software package, as the problem is with the MyDMX product, MIDI routing and how things work.
2: DO NOT DO THIS all on one computer. If you choose to do so, you're looking at instability and crashes. This is NOT good for a live event. Put your MIDI and DAW functionality on one computer, and MyDMX on the other.
3: Why? Well, multiple reasons. First, MyDMX MUST be the foreground application to accept MIDI inputs for triggering and control. Don't try fighting this fact, you'll lose. Sure, you can set a blank measure to give yourself time to switch, but that's not all.
4: MyDMX does NOT install itself as a MIDI device. It does not internally bridge MIDI. The way MyDMX works is that it LISTENS to MIDI IN and responds to those commands. The instructions MUST come IN via a MIDI IN port.
5: "OK, fine, I'll hard loop with a MIDI cable". While this can work, if your MIDI routing is OFF in the least, you'll cause an infinite loop condition and you'll crash within 5 seconds. While you could use 2 MIDI interfaces to avoid this and it WILL help your situation, it won't really resolve things and isn't much more stable.
Don't do this. Use 2 computers and 2 MIDI interfaces and tie it together with a MIDI cable. The all in one solution is a no-go. You can get a netbook for MyDMX, and with the power behind most netbooks these days, you could get a second for your MIDI and pre-recorded track playback.