Looking for speakers for my 4W SET amp

Another vote for Omegas.  I've spent time with Heresys and if you want to "rock out" then those should be considered as well.  The Omega's have a purity that the Heresy's lack, but the Heresys will definitely play louder and do a better job of unravelling complex music if you listen at higher volumes..

I've got a pair of the Zu DW's as well, they are closer to the Heresy sound.  A little more raw, more bass, but they are fun, especially if you want to just turn the volume up and spend less time in the listening chair enjoying the nuances of a recording.

" Would they have enough bass without a sub?"

That's a totally subjective call.  What's good for one person could be totally inadequate for another.  Also room size and placement and room treatment will play a big part in this.  If you haven't already, you should go to the Omega forum...there's lots of discussion about the different sounds of the various drivers.