It sounds confusing. Is LFE a separate channel? Is LFE encoded into a stereo CD?
LFE vs. LFE+Main is a confusing setting. LFE stands for Low Frequency Effects and is '.1' in 5.1 or 5.1.4. CD music, is 2.0 and doesn't have a LFE track.
What I’m understand that if you set your speakers to small. The subwoofer gets the frequencies below the crossover settings, and the small speakers get the frequency’s above the crossover setting.
This is correct. (A sub if enabled in settings will always gets the LFE track when present in source, irrespective of the Small/Large setting of speakers.)
If you set your speakers to small plus mains. The mains are not crossed over and are full range with sub.
There is no config/setting for "small plus mains". You've mixed the setting for speakers and sub

. When the speakers are set to small, they will not get signal below the selected crossover frequency irrespective of subwoofer mode of LFE or LFE+Mains.
Why not just set you mains as large with subwoofer? Still confused.
Some feel that setting the mains to large helps in getting better integration between speakers and subwoofer. Even for people with tower speakers, this is not recommended. There are several caveats associated with this approach and is not recommended for 99.9% of setups.
Using LFE+Main allows a subwoofer to play in Direct Mode (as opposed to Stereo or Pure Direct) with Stereo (2.0) recordings. This is because 2.0 signal (Front L and R channels) below LPF of LFE is getting duplicated to the sub output. Try this, set the AVR to Direct mode and play a CD with good bass and flip the setting between LFE and LFE+Mains. The difference will be immediately noticeable. Just remember, frequencies between crossover and LPF of LFE (120Hz by default) are playing from the main speakers and subwoofer.
I called Denon customer support. It seems the Denon support doesn’t understand these settings.
Not surprised at all. This is a setting which 99% of people can ignore.