The design of LMMS and sequencer-synthesizers in general is that they have
their native instruments and effects, and may or may not support third-party
plug-ins. For some, like Reason, have an entirely proprietary plug-in
architecture which is unique to the program itself. It doesn't even have
support for VST.
Fortunately, besides the native plug-ins which LMMS provides, it supports
third-party ones like LADSPA (for effects) and VST (for effects and
instruments; via its vestige plug-in). As such, what you will be looking for
on other software is support for these two plug-in standards.
If you want to be able to use the native LMMS plug-ins with other programs,
you can't. At least, not directly. You can use JACK and route sounds in and
out of LMMS, so that's an indirect way. However, those other software need
to support JACK as well (obviously). Furthermore, the state of JACK audio
out in LMMS is not favourable. Even in the case of control (eg. using LMMS
as a sequencer only), one would use LMMS with ALSA output while running
JACK, and the MIDI ports would show up under the ALSA tab.
ZynAddSubFx is a standalone program, though. LMMS just includes and embeds
it as a native plug-in.