The direct out will only produce a signal if there's a plug in the Output jack. You can put a dummy cable in there, and then it'll work. It's really designed for a stereo effect.

However, I did read on this site some suggestions for DD-3 settings, and one was a sitar effect which involved turning the Feedback know down to about 2 or 3 repeats and the Delay time to a short delay. Then, plug a dummy cable (that means any old cable with the other end unplugged) into the Direct Out, and another patch cord from Output into your amp. Sounds really cool.