You have a local special fx store nearby? That's uncommon; I'm jealous.
Ben Nye is just a brand name. They sell many categories of makeup. Some work on latex, some don't.
Moist cake makeup is a good way to go. It's the type of makeup that you mix with a bit of water and apply with a brush (like watercolors ya used as a kid). Kryolan's version is called Aquacolor. I can't recall Ben Nye or Mehron's name for theirs' at the moment. When brushing it onto latex, you want to use very little water, since latex doesn't absorb water the way skin does. To make it hold better, you spritz it with fixing spray. You can use hairspray in a pinch.
If you need something really durable, mixing up your own PAX is a great choice. You buy a bottle of Pros-aide prosthetic adhesive and you go to the craft store and buy some liquitex acrylic paint. You mix it up 50/50 on a paint tray and apply it with a brush or white sponge. Just clean the brush asap. It's a good idea to also buy some pros-aide remover. I tend to only use it when I know I can spend a long hot bath to carefully and gently remove it later.
If you don't mind spending a bit of extra money, and you need something to stay on, Alcohol Activated makeup is fantastic to work with. Skin Illustrator is the most popular professionally, but there are a couple competing lines. I have the Matthew Mungle pallet, which has great colors for zombie effects. You spritz the pallet with a small pump bottle filled with 99% isopropyl alcohol and apply it with a brush.
Technically, creme makeups aren't the best over latex. The oils in the makeup soften and weaken the latex. However, brush-on liquid latex applications are generally one-use only so that often doesn't matter. Creme makeups sold by stage makeup manufacturers are very different from the makeups you buy at the department store. They have a higher cconcentration of pigment, making them more opaque, which allows for much more drastic changes. Creme makeups are really friendly to work with. They rub off skin if you screw up, and apply well with sponge or brush. To get the makeup to stay on you must push face powder into it with a powder puff. You apply it in excess so that the whole area is powdery white, then brush off the excess with a soft bristled brush. If that doesn't get enough off, then dab it off with an ever-so-slightly moistened paper towel.
You can save some time and get some nice effects by intrinsically tinting your latex. To do this you mix an extremely small amount of liquitex acrylic paint, or pure powdered pigment into a few drops of liquid latex. gradually add latex while mixing constantly. It takes a bit of practice.
You are correct that "halloween makeup", particularly those tubes of face paint, are worse than garbage.