I notice you said that you had kill dry on with the delays all the way down, but did you mean the delay times or the mix control. Even with the delay times at zero there is going to be a very slight delay through the pedal (microseconds) and when you add this back with your dry sound in the amp it will sound like filtering. In order to avoid this, turn the mix to 0 when not using the delay.
Also, if you're using a parallel loop, you don't want to use relay bypass. Turn on killdry and use on of the DSP bypass modes and it will be like the pedal has just disappeared when you turn it off.