You don't need to go into the Setup Menu and adjust the speaker setup (Large/Small, LFE/Main etc). The sub can be switched On or Off in Direct/Pure Direct by adjusting the channel levels whilst in that mode. The original poster has done that in the same way I've been doing it with my Denon for last few years. Why do something you don't need to?
If you select Main in the Setup Menu then that will affect ALL modes. Becomes a bit of a problem if you run a Sub/Sat system or want all speakers small, all bass to the Sub. By allowing you to switch the Sub off via the individual Channel Levels Denon has given you the option of the best of both worlds. Optimum performance for movies (all speakers small, all bass to sub) and the ability to run full range with or without sub for music. Both Direct and Pure Direct Modes ignore any bass management settings and pass full range signals to the front left and right speakers.
Out of interest, what other comments in the thread are incorrect??