I've got a more modest setup, ProAc Response 1s's and an HSU sub and my experience is the same, using the speaker-level connection, amp to sub and amp to speakers, makes for a much easier integration of the sub into the overall sound than using the low-level connection.
HSU's recommendation is that the cabling from the amp to the high-level inputs on the sub is not particularly critical. I haven't tested any alternatives but am extremely happy with the sound using DH Labs Q-10 cable to the ProAcs and Canare StarQuad from the amp to the sub.