I used Clickteam software from the early 90's Klik 'n Play up until Multimedia Fusion 2, and have messed around with Fusion 2.5 a bit recently.
In a nutshell, Fusion 2.5 is just a super duper beefed up version of Klik 'n Play from 1994 and you can expect at least a year of tinkering to really find its true potential what with all the strange workarounds and odd design choices and stuff.
Fusion 3 (working title) is Clickteam's first truly new engine since then, and is being revealed fall 2016. You're better of waiting until then and maybe using Construct 2 in the meantime to get familiar with this sort of engine. For the record, Construct 3 is most likely coming out next year as well.
If you're adamant about using Fusion 2.5, then you'll pretty much have to learn how to build your own editors to dynamically load levels and such in one frame, since objects/events are tied to individual frames...and you'll have to use a large number of sketchy 3rd party plugins. Also, learn to use the event list editor...that checkbox system is what nightmares are made of.
Yes Hempuli, Nifflas, and many others have made amazing games in MMF, but that was after using it for about 10 years.
So uh..good luck I guess