MyDMX is a DMX software application. I do not believe it supports 2-way communication.
RDM claims it works with any and all DMX consoles. Having not used RDM myself, I can't say how it operates. It just seems odd that ANY console can use it, especially since each fixture would have to say "hey, here I am". Kind of like DHCP and MAC address tables in a strange sort of way, yet entirely different. 2-way communication is required, and I honestly don't think the ADJ line of DMX controller products supports that sort ofthing, INCLUDING MyDMX.
RDM isn't a big deal, your RDM-equiped fixtures can be manually addressed anyways, so you don't need RDM support at the console.
As I understand it, no fixture REQUIRED RDM. Some utilize it, but none require it.
Hope this answers your question.
If not, check out this document on RDM, it was good at explaining it in crude but effective terms:
RDM DMX - A Guide To The Basics