Is it possible to have many MT800SWM (Embedded Serial-to-Wi-Fi Device Server) create a network (Infrastructure mode NOT Ad-Hoc) so that one of the modules is my AP (Access Point) and the others are different stations that can communicate with my AP?

No, our module can NOT be configured or run as an AP. Our module works as a client only and it operates in either Infrastructure or Ad-Hoc mode.