I have the Corsair K70 and I love it. Yes you are correct though, each application will have only one automatic setting.
What you can do though is save as many different lighting profiles as you want - 1 for each game you want (you'll have to create them yourself, but they are easy to do with the editor) and then you save the profile the name of the game it is for and right before you launch that game in MAME just do a quick profile change from the system tray. It only takes a second to switch to another lighting profile.
You've given me something to think about trying for myself now.