TCP with directplay will use one thread per connection hince making multiple connections(enough to be considered massive) very slow. TCP does however prioritize packets and data handling error correction CRC type checking etc. UDP is blazing fast, but not secure, and you have to handle your own packet priority structure and error checking. I would highly suggest using a network library to handle this all for you. Might I suggest NOT making a MMORPG? These things are HUGE undertakings, and blitz has its shortcomings with a lot of things that make a mmo feasible.
-Scott
-Scott