That is because Paradigm sucks... just kidding.
Actually it is the other way around. They are a really good company and they want to make sure it is unequivocally clear for everyone involved.
The LFE input is for those with AVRs or pre-pro's that have a LFE/ Sub out. This output on the AVR or pre-pro only sends signals below the crossover point set by the user. If this is used, the subwoofer bass management needs to be bypassed so as not to double up the filters.
The L/R inputs are for those with Stereo receivers (that usually dont have a LFE out) or for folks that want to do bass management in the Subwoofer. In this situation, the crossover will need to be controlled via the knobs on the sub's amp.
So, you have to use one or the other.
As for using a Y cable on the L/R inputs, it is possible to do this and will have no difference that using the LFE in. The only difference is, the amp will sub the signal on the inputs and therefore it will be louder than using the LFE in.