Thank you!
After many combinations, I ended up with these principles:
- Play sends clock and transport to the rest.
- Medusa has full MIDI Thru, so you can connect it to the Play and then have another device behind it (e.g. Tracker or Maschine)
- Tracker doesn’t have full MIDI Thru (see MIDI thru should forward the channel data it receives and therefore it is better to have it at the end of a MIDI chain.
Then there is this little friend that becomes very handy: a MIDI DIN Y splitter cable.
My MIDI setup:
- Play sends clock and transport. Settings: MIDI Out DIN and USB (if the USB is connected to a PC, then you can sync a DAW or software instrument as well).
- Play MIDI Out plug, connect MIDI adapter and then the DIN Y splitter connected to MIDI IN on the Medusa and the Tracker.
- Medusa MIDI Thru plug, connect DIN cable to the Maschine’s MIDI In.
For the audio, I plug every device to a mixer / audio interface (Onyx 8). I have tried the Line In’s from Medusa and Tracker but personally I didn’t have much use for them.
I thought I would use the Maschine more for MIDI (i.e. playing the acousting drum sets or acoustic sampled instrumens but in the end… for MIDI I switched the Maschine for the Dreadbox Nymphes, and as said above I’m using the Maschine as a big effects pedal (mainly for the Medusa although the audio sent to Maschine is coming from the mixer, so I can send the audio from other instruments as well. Still, the effects on the Play and Tracker are good, and enough especially for all the percusive / short samples, so in the end I use it mostly to spice up the Medusa and the Nymphes.
I never play with all this gear at once. Too much for my little brain and hesitant fingers. But I appreciate the possibility to turn on gear and decide which combos I want to use without having to change cables and settings.
A little detail, in the setup above, the Medusa still has the MIDI Out port free. I have ti connected to the Maschine, and sometimes I go for Medusa sequencing the Maschine and also adding effects, without touching the Play or Tracker.
And another detail, the Play’s MIDI IN port is also free in this setup. I have a piano keyboard connected for whenever I prefer that over the Play’s pads. I had this keyboard already, so I had to plug it anyway. 
Sorry, long post, it’s late, and I haven´t replied directly to your questions above. I hope this helps. If you get stuck somewhere specifically, please ask. I got stuck especially in the Maschine MIDI configuration (maybe it was me, but it took me a while to understand their “paradigm” and I’m still not sure I have understood it, but my setup finally worked and I’m not touching it now). 