More Instrument options and more key signature options

There are certainly different theories about this, with all due respect to your conductor friend. And he knows this. Different countries and regions have different traditions. You should follow his advice for where you live.
MuseScore will allow you to do these things.

The clarinet part can be in A. And a player using a Bb clarinet can transpose it as he plays it if he doesn't have an A clarinet. Most professional players have an array of different pitched instruments. MuseScore has an A instrument.

Did he tell you why a horn part should have key signature? This goes back to the Baroque period. Brass instruments had no valves and could only play in one key. Horns were used mostly. Player had with him a set of short crooks to pitch their instrument in the key of the piece they were playing. They could play the overtone notes of the key of the piece. For a piece in D they would use the D crook. Their music for that piece had no key signature. Today horns have valves and can play in any key. But for some odd reason, this tradition always having no signature has remained. Not all places do this. Most professional players can, but not all players are pros.

Brass b signatures is not universal.

MuseScore can give each instrument their own signature. Check out the Concert Key box down in the bottom right.

"Having help from a big conductor he´s pointed out to me that clarinet should be in A not Bb."
So use a clarinet in A rather than a clarinet in Bb. It is in the "Orchestral" group but not in the "Common" group

And clarinets come in a wide range of sizes and keys https://en.wikipedia.org/wiki/Clarinet_family

"Horns should have no signs."
Use an atonal key signature. It is in the key signature pallet and has a grey X

That is rather old fashioned usage, it is becoming more common to write horn parts with key signatures.

"Brass should only have b signs on their key signature."
What????? That is complete tosh!! You either misheard what your "big" conductor said or he is a very misinformed "big" conductor.

"Plus when creating a huge orchestral template you should have the ability to give each instrument it´s own key signature based on what I wrote above."
That happens automatically if you set up the score correctly using the correct instruments and viewing with the concert pitch option off (bottom right of window). If that doesn't happen for you, attach a score that demonstrates this and someone can see what is going wrong.