Hi @GianfrixMG. Welcome to the community. I hope you enjoy it here.
The behaviour you describe (lost MIDI events) is indicative of a MIDI USB device that struggles with USB high speed. There is an option in webconf Hardware->Audio page to Limit USB speed to 12Mb/s. If you enable this you may find those MIDI problems disappear in which case you can try Zynthian with the hardware you already have. You should get a fairly good experience with that and we are here to help if you hit any problems.
The Rapberry Pi 4 has much improved performance and resources which allows it to handle more challenging Zynthian engines. Sound engines like Pianoteq are likely to struggle on RPi3 but run much more smoothly on RPi4. This will manifest as the occasional click. This is indicated by an exclaimation mark icon briefly appearing in the status area (top right of screen). You should certainly be able to run many of the engines without experiencing this on a RPi3 but I would recommend, once you are happy it is something you want to keep, to upgrade to a RPi4.
The most frequent cause of issue with Zynthian is use of substandard power supply or power cable. It is really important to use a PSU capable of constantly delivering 3A or more and a good quality cable (generally identifiable as thicker and more flexible than the cheaper alternatives). The official Raspberry Pi power supply is recommended as it is of good, consistent quality and priced competitively.
Please try Zynthian on your RPi3 and let us know how you get on.
I have not tried using a combined audio and MIDI keyboard but have tried similar technology within the Raspberry Pi. Linux supports this where as Windows and MacOS each support just a subset so I would expect such a keyboard to work well with a Raspberry Pi running Rasbian, such as Zynthian, as long as the audio and MID are class compliant.
The Behringer UCA-202 works well with Zynthian. It certainly gives better performance and quality than the builtin headphone socket. I have seen reduction in xruns on a unit that I changed from headphones to UCA-202. I haven’t done benchmarking between the Behringer and HiFiBerry but have been curious whether either add more overhead. Something for the (long) list…