The point of Pure Direct is that it does not allow any processing or tone controls, thus the "Pure". If you configure LFE for "both" I believe you will still get the sub in the mix even in Pure Direct, but don't quote me on that. In order to get the other speakers working in this mode, you would need an analog source with mutiple channels connected (7.1ch input), playing multichannel audio since it only recognizes the channels that are present. So if playing a stereo track you will only get output from the main channels in this mode.
Could also be that these are simply not the right speakers for you, but the amount of treble you describe seems excessive for any speaker. Just curious how you have the mains connected? I presume they are bi-wirable - do you have the original jumpers in place and if not, which set of binding posts are you connecting to?
*Edit - all the images I am finding only show a single input on the built in amp, is there another input?