The LFE input on a subwoofer amp typically bypasses the subwoofer internal crossover(lowpass)circuitry. Since any processor that includes a LFE output already filters the subwoofer preout...it may not be desirable to run another crossover downstream of the receiver/processor.
If you don't have the option of using a LFE input on the sub, it's usually best to set the crossover knob to it's highest point...and tweak from there if you feel the need.
TV