Wel I have a bit of a complex audio server setup. But the relevant part is that I use foobar for all my music and make playlists in there. I export these (one playlist per genre) and import them into Cross.
I tried it in rekordbox and you can select multiple playlists there. I was under the assumption that rekordbox and Cross shared some implementations (I might be completely wrong here, but I do find it interesting to know
).
Also I agree that during a live performance it may be unwise to batch import but that should be up to the user.