the built in Live sends and receives routing ?...

I don't think it's possible currently. I just use an sfplay object to trigger the sidechain audio. The only limitation here is that MIDI clips have to be rendered first, but I think this is actually better because you can have an unlimited number of sidechain audio tracks in one patch.

I have passed audio between devices in Live by writing the signal to a matrix. It may not help in all situations, since this process introduces a short delay, but I have found it very useful at times.

you can use a shared buffer~ namespace as well.

Could you describe "shared buffer namespace"?

If you record into a named buffer, "buffer~ loope" in one audio device, you can play it back any other device in the set. So in another device you could have "play~ loope" and it would reference the shared buffer. This is especially useful if you need to trigger audio with midi clips.

just make one compressor for each sidechain effect, you can put more than one in a channel. Select their target, now just make a macro rack which turns the compressors on and off with one macro dial, far easier and cpu efficient than making new devices.

With shared namespace, if you have two devices in live and put them in different stages of the signal chain, there is significant amount of latency. Compressors set to sidechain and "monitor" work a bit better, but there is still latency. Latency of the signal is one of the most difficult things to overcome in live.