First, I should talk about some JRiver terminology so we can speak the same language. In JRiver terms, the Library and the Database are the same thing: This is a TINY little directory that MC uses to manage your collection. It keeps all of the metadata there (album names, artist names, etc).
The Media files in a library can be stored anywhere; like on your NAS. But the Database files, the tiny directory, really should be on a local hard drive and should not be shared with any other computers. It's a database designed to be used only by MC.
So, when you create a library, the location it asks you for is the location of the tiny directory where the metadata will be kept. You should probably put this somewhere like Documents/JRiver/Libraries/MyLibraryNameHere .
Once you have created a library (or use the default Main Library), you can add Media Files to it. Use Tools > Import to add directories on at a time. Or use Tools > Options > Library & Folders > configure auto import . Auto Import lets you set up directories (like on your NAS) where you have media files that you will be adding to. If you add media to an auto import directory, MC will find those new files automatically. Which is pretty awesome actually.
With that in mind, let's talk about why you would want to create different Libraries. Or more, to the point, why you should NOT create new libraries. It sounds like you want to be able to separately see your DSD, BD Audio, and PCM files. A lot of people like to do this. But you should not use a separate library! Just add them all to the same library. Then, you can build Views on top of your library that ONLY SHOW YOU CERTAIN files. You will probably have at least 3 views: DSD files, PCM audio (regular), and BD Audio (High res PCM). You could also have one or more views that show you everything, regardless of format. Or not. It's up to you.
Separate libraries only make sense when the files would never be viewed together. But you might listen to PCM and DSD in the same listening session. You might switch between them 3 minutes apart. Separate libraries are no good for this, as changing libraries requires a full reload of the interface, and the database, which is comparatively slow.
So use views instead and you'll be happy. You'll probably have more questions about this. Consult the wiki and ask questions here.
Brian.