You have the right ingredients. The Denon has pre-outs, so wire as the diagram.
Any source that needs surround decoding connects to the Denon. Any purely-music-only source connects to the Roksan.
Setting the volume for AV use:
You will need a sound level meter. Some smartphones can run a sound level meter app. Alternatively you can buy an analogue sound level meter or borrow one if you know someone who has one.
Reset the Denon's speaker levels to 0dB for the FL, FR, Centre, and surrounds if you're using them. Switch on the Roksan, set it to whichever Line input you have chosen as the connection between it and the Denon's FL/FR pre-outs. Turn the volume down on the Roksan. Manually put the Denon in to Test Tone mode [NOTE: DO NOT use the set up wizard / Auto set-up. The Denon won't understand that you're setting it up with an external amp. You need to drive this process manually. Read your manual.]
Get the test tone to play through the centre speaker. Sit in your main listening seat. With the test tone playing through the centre speaker, adjust the Denon's volume until the meter reads 80dB. It will sound loud, but don't worry, just keep going. Now set the Denon to play the test tone through the Front Left speaker. There should be no sound because the Roksan is turned down. Increase the Roksan volume until the sound meter reads 80dB. Remember the Roksan's volume setting. Now play the tone through Front Right. Using the Denon's speaker level trim control, increase or decrease the dB level for Front Right until the sound meter lever reads 80dB. At this point, the front soundstage levels are set.
From here on, you can run the Denon's auto set-up if you wish. Just remember to put the Roksan to the same volume level that you remembered from this set-up.
Whenever you want to play movies or use the Denon for some or other AV function, set the Roksan to the remembered volume level.
That's it.