The thing about shmups is that the collision data has to be greatly simplified to prevent slowdown (the tutorial video explained this). And you need all that data for the arcade platformer to work, so....I dunno about the other genres, but you probably can't mix a shmup in there.
Dungeons & Doomknights has a mixture of adventure and platformer sections if I recall correctly.
I think you'd have to mess around with the codebase quite a bit to get that to work.
We can't give you specific instructions, to be honest.
Dungeons & Doomknights can do that, because it is using the 4.1.5 version that allow easily that kind of things (the engine can deal with screens with or without gravity).
With the 4.5.9, it's more difficult the engine can only deal gravity screens or no gravity, but not both. You would have to modify the physics scripts in order to be able to do that. But it's a big work.
On a technical standpoint, yes it is possible but I'd imagine you'll have to rewrite a lot of the code or write lot of it from a scratch.
Nobody in here is going to write it for you though but we are more than happy to help you give the pointers for it though.