"You can only add entities that are supported by the game DLL, not create new ones on the go."
Well..., not if you add hooks to your plugin to handle these new entities.
Take a look at my Monster plugin for metamod as an example of adding new entities to a MOD that doesn't normally support them. It's pretty complicated to get working properly and it has some limitations interacting with the game DLL code, but it can be done if you know what you are doing.
botman