What you are looking for in a compressor is as many controls as possible, study compressor theory and experiement a lot with it. Onboard sidechain filter is a blessing, if you can afford such a device - but not essential in live settings most of the times. I don't like complex setups (like another device to sidechain)- it's time consuming, and we don't always have that time. Learn how to use the simple things best.
I have yet to run across a compressor with full controls I couldn't get at least a decent result with.
Some compressors are easier to set up right, for various reasons, like having less controls with a good all around circuitry design. It leads unexperienced engineers to think that others are considerably worse, and you do have to dial in different compressors differently to get the same result. but it's %90 in your hands really.