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If you were to replace the word 'database' with 'collection' in your OP, you can accomplish exactly what you desire with MSP's primary library. This is because the primary library is a database with all of the songs. These songs can be identified by genres like folk, jazz,ragtime, etc, and other identifiers, put into categories, and selected for setlists for each session. They can be sorted by many other identifiers/metadata, eg. composers, artists, key, etc.
There are folks using multiple databases although I have no idea why.