Sorry to hear you're having trouble with the setup — there are a lot of factors at play here so let me see if I can help.
You are right that this type of parallel setup is going to be difficult, as typically this would require some sort of latency compensation on the dry signal. However it really depends on the types of algorithms being used, for instance many of the H9-series algorithms (which are more tailored towards guitar) in the 9000+ banks have a 'Kill Dry' feature that would allow you to use them in a parallel loop. In general, reverbs, delays, and pitch shifters are going to work best because the effected signal will be de-correlated enough to avoid comb filtering.
This is a common problem with guitar signals due to the natural compression of most amplifiers. The H9 algs taper their internal mix control so the 0-50% range has more resolution on the knob for this reason. The built-in mix controls on the H9000 will mix in wet signal from 0-50, and then mix out the dry signal from 50-100, so for certain effects this may cause slight gain differences throughout the range, but these can be compensated for using the algorithm or FX chain gain controls. Note that this gain structure is slightly different than the H8000 which may account for small differences at the same nominal settings.
We have encountered this issue and think it could be solved if we implemented a 'Mix Lock' that would keep your current setting across preset loads. We definitely think this would be a useful feature and are considering scheduling it for our next major release.
The FX chain mix controls are external to the FX chain, meaning that the dry signal from the input channel 1 will be passed through to output channel 1, etc. For more complex routing scenarios this would probably not be appropriate because it will bypass any routing done within the FX chain, but it could work for a mono guitar signal as a simple 'overall mix'. In general the algorithm controls will give you greater control as these are internal to the FX chain and maintain the routing structure. I'm not sure if there is necessarily a "right" way to do it, but I do think in a guitar setup it's normal to have mix values that seem a bit low, due to the inherent compression both in the amp and the speaker cab.