I've sort of been wrestling with how best to get this working too....
I think MGB is a bit neater than Pushpin for this sort of thing, but they both essentially do the same thing (Pushpin maybe has more separated CC numbers, which could be good or bad I guess...)
I'm kinda intending on getting this:
https://www.youtube.com/watch?v=lx0dQ0DPQnM
and building an MGB/DMG skin for it when I have a bit of time, as this would allow a permanently set up set of CC knobs so you don't have to remember the numbers/set it up everytime from a DAW
I've also had loads of joy using an Elektron Digitakt sequencer to control mGB/Pushpin via MIDI.
On the other hand:
LSDJ has a lot deeper sound editing capabilities. So I think there's also something to be said for making a load of patches in LSDJ and then using "Program Change" to play them rather than the external CC stuff in a way.
BUT - as far as I can tell (and would love to be corrected tbh) you have to be in either PU1/PU2/WAV or Noise channel to play via MIDI keyboard, so you can kinda only use the appropriate patches for the channel without touching the DMG (?)
BUT! the arduinoboy "MIDI Map" mode seems to potentially solve that issue as it allows you to play full song rows, which you could set up in advance.....
Those last two are not "full MIDI control" obvs, but it seems like the real depth of DMG sound just isn't necessarily reachable from MIDI (tables, speech etc)....
After thinking about it and trying all the options I am beginning to think that what would be really good (and I am working towards) is maybe a couple of DMGs, one with mGB and one in LSDJ keyboard mode in the wav channel with loads of instruments set up to be switched to with Program Changes.
And a GBA with the MIDI synth thing for chords and drones (https://catskullelectronics.com/gbamidi)