IMO it is better to use the LFE channel than the HPF in the sub. The quality of the HPF in the sub may be decent, but you are still putting a lot of extra interconnect and an additional active stage in the signal path to the main speakers. That is bound to degrade the mains. In general, subs include a HPF (or a speaker tap) as a way to integrate with 2-channel systems. For theater I'd go with the LFE out and allow the receiver to act as the filter and amange the crossover points. But thats just me.
fsulloway:
I couldn't very well read the labels in that image. It looks like there is no 5.1 line level outs so LFE is not an option. It also looks like there is no preamp out for the main channels. So maybe the HPF is not an option anyway. It looks as if the only option is to use the speaker tap and route your speaker cables to the sub and then to the speakers. Of course this affects the ability to place the sub, or you have to get very long speaker cables.
If I'm misreading the image you posted, adjust accordingly.