Mrcyn,
I will be completely honest and say that I really never compared the two methods, as I have used the Opus 21 using the Au24 DIN-XLR cable almost exclusively. Jeff Kalt told me that the absolute best sound is via the DIN, so I immediately went that route. Although, I did not use the DIN cable he sold, as I had read a review from a guy on Audio Asylum who tried both the DNM and the AU24, and much preferred the later.
Again, he uses a very good analog volume control, so the difference is pretty small, based on my (and my friends) limited experience. My friend borrowed my DIN cable and tested it against his XLR cable (Cardas Golden Reference, I believe), and did prefer the Au24, enough so that he too ordered one. This is the same friend who upgraded to the Audio Aero Captitole II a while later, which is why I know it is better. (But to be honest, it is not so much better that I would sell my Opus 21 to get it, as I prefer to spend that extra couple of grand on better analog equipment.)
PS The only time I ever tried them direct to the amp, was when I first bought my Lamm M2.1 amps and I was just quickly checking the amps to make sure they worked fine and were balanced properly, before finalizing the sale of the amps. (My preamp does not have a balance control so I am very particular about this.) They sounded great, but since they were connected to a new set of amps, it is not fair for me to really say what they did.
PPS As long as you do your research properly, you probably can't really go too much wrong no matter what you get. I have heard good things about the Wadia too. Another player to check out is the Ayre C-5XE, which has been getting some good reviews as well. (Ayre is a great company with great service as well. I own the Ayre K-1XE preamp.)