Well, it depends. And is arguable.
If the subwoofer is not applying a high-pass filter to the speaker-level outputs, and is simply passing through a speaker-level signal, full-range, then there is probably no degradation. But if this is how the subwoofer operates (no high-pass on the speaker-level outputs), there is really no good reason, except for perhaps wiring tidiness, that you should connect the speakers directly to the subwoofer in the first place. You can simply connect both the sub and speakers, in parallel, to the amplifier's speaker outputs.
If, however, the sub DOES high-pass its speaker-level outputs, some might argue that this could be degradative to the overall sound of the setup because the speaker-level high-pass filter built into many subwoofers is pretty crude. That said, one could also probably argue that high-passing smaller speakers is a good thing,
"All men are frauds. The only difference between them is that some admit it. I myself deny it."