If I had to make a guess at it, I'd say that you may be running into the old volume issue- a lot of dirt pedals do their best when they are pushing an amp that's already working pretty hard, so that Deluxe will need to be moving some air to have the best effect.
Also- and maybe someone can correct me if I'm wrong- but I think that unity gain for the Axe in a pedal only chain is with the output knob turned all the way up. If your output knobs are turned down, you'll be sending whatever dirt the Axe pedals are generating with a very weak signal into the front of the amp. That's a recipe for yucky, so make sure your output knob in the Axe is maxxed.
I wouldn't use any amp effects (I assume you mean like the amp's own reverb and trem) just because it's much more controllable on the Axe, but do what sounds good and natural.
I've used my AF2 with my Bassman as a virtual pedalboard, and it sounds great as long as I can stand to turn the amp up and let it do its thing. At that volume, local universities start picking up the amp on their seismograms, so I usually revert back to the Axe all on it's own! My ears can't take the pounding anymore.