To some extent, it depends on how you employ the sub. If you are using something like the REL subs, which runs the main speakers full range and only adds low frequency support, then you will still be taxing the SET amp with having to deliver a lot of its power to play bass. But, if the subwoofer employs an active crossover so that the SET amp and the main speakers are not being used to provide deep bass, less power is needed for the SET amp. If you really want to play your system at very high volume levels, look for something that cuts out the main speakers from playing deep bass.
I don't know if SET is really the way to go with any headbanger kind of system. There are some SETs that employ tubes like the 845 or 211s, but, these amps are pretty expensive, if built correctly, and very scary to own and operate, if built cheaply. Of course there are varieties of pushpull tube amps that deliver more power. I personally don't like most of the very high powered pushpull amps, but there are decent sounding mid-powered stuff. To find something that will work, you MUST actually audition the amp with your particular system.
There are also output transformerless amps (OTL) that sound quite good. Typically, these deliver very dynamic and in-you-face sound, so they can perk up a lifeless sounding system, but, having heard Zu speakers, that kind of extra liveliness is really not needed. OTLs are still worth looking into.