you're gambling with a clone.
it might not support the newer PIC's (like in the etherdongle)
it might not have the support that Microchip has for a genuine part.
compared to the money spent on the lights and controllers, the pickit3 isn't expensive at all
you only need adapters for boards that don't have the 6pin header on them. (ssr4, mr16, freestyle, USB Dongle)
if you're sticking with newer stuff (express, etherdongle, smart strings, dumb strings) then you don't need the adapter boards.