I think they are getting confused over the difference between deploying an Application in a sub-folder vs.
MVC area which happens to have its own Web.config - these are two totally different things.
I'm not sure what devexpress is requiring HttpModules for, but with Orchard you can use a FilterProvider / IRequestFilter to wrap around the request for most scenarios that a HttpModule would typically be used for. Unless they're doing something extremely
funky in their HttpModule this should be possible, but it boils down to whether they're prepared to do an Orchard release.
I'd honestly look for something open source that provides the functionality you're after if you want to build something that can be distributed as a module; so you can do your own integration if needed. Since devexpress requires a license it's not exactly
something you could easily distribute anyway...