Then any delay (for example) is then going to get distorted by the preamp in your amp. Maybe that's the sound you want, but generally you want delayed distortion, not distorted delay.
So, the 4CMmethod is:
Cable 1: Guitar output > Boss or Line6 device Input Cable 2: Boss or Line6 device effect loop send > amp input Cable 3: Amp effect loop send > Boss or Line6 device effect loop return Cable 4: Boss or Line6 device output > amp effect loop return
This gives you a proper signal path:
Guitar > Boss or Line6 device > amp preamp > Boss or Line6 device > amp power amp
The send receive in your Boss or Line6 device effects path should be AFTER your comp/distortion/amp sims and BEFORE your chorous/delay/reverb effects.
Note that you can still put external pedals in the right places - i.e. real wah pedal before the Boss or Line6 device input or a distortion stomp box before the amp input and other effects processors in the loop before/after the Boss or Line6 device.