IN short terms: yes.
You're allowed to save as many "universes" and shows as you have hard drive space for. Of course, only one can be open and active at any given point in time.
Let's say you have your own lighting rig. I won't go into details, but just let me work off the assumption that you have, bring, set and use your own lights. You can have your "show" be set up around that. But since you say some of those clubs you set up different for, you'd want to employ different "rooms" for your 3D Visaulizer set-up to help you design. You can always "save as" and then move stuff around or tweak to make these different set-ups work.
Then let's say you play 3 different clubs, and when you do, you use their lights. This only requires a bit more coordination. You'll need to know what they have and where(especially for the 3D Visualizer) and what channels those fixtures are on. Then design away and save often!
As far as MIDI, you're going to have to ask questions to see if MyDMX is going to work for you. MyDMX uses a very simple implementation of MIDI. My first suggestion would be to run your sequencing as you have been, and run MyDMX on its own computer. Once you have MyDMX learn the triggers(note ON) for the various scenes you want to use, then you're good to go. Yes, you're going to need to make scenes, which takes time. As well, you're going to probably want to spend a little bit of time using the 3D Visualizer to help you make the scenes. MyDMX is also capable of assinging CC-type controllers to DMX channels. In my case, I have purchased an inexpensive fader/knob control surface, and have assigned knobs and faders to DMX channels to give me direct control over some of my lights.
When doing a "save as", it also saves the learned MIDI triggers and controllers.
It's the same issues as with dealing with any change. You're going to have to put in effort up front to make it happen, no way around that.