Adding a sub - what will I loose?

I'm with Bizango1 - it'll probably be a big gain. I run my mains the way you plan to, with a high-pass filter (in my case 60Hz). I go further and bi-amp the mains - I run a full-spectrum direct signal to the midrange-tweeter sections, and high-pass only to the woofers. I use a y-cable to split the preamp signal. The improvement in my system overall is amazing. I'm very happy with the result.

"Doesn't that imply that the main amp is superior to the amp in the sub, even within the limited frequency domain of the sub."

No. The sub driver is always driven by the sub's amp. The speaker-level inputs use a relatively high input impedance to reduce the main amp's output to just a couple of volts, and uses the low-voltage signal to drive the sub's internal amp. More likely there's some sort of frequency response difference caused by the interaction of the amp's output stage and the sub that is fortuitous.