No, connecting the speakers to the sub is rarely the better option. The sub actually doesn't have an internal "crossover", although it's frequently called that. It's only a variable low-pass filter on the sub which rolls the sub off above the selected frequency. It has no effect on the connected speakers, which are just powered straight through from the receiver(a very few subs have a separate high-pass filter on the speaker outputs, typically fixed at about 100Hz).

Connect the speakers directly to the receiver in nearly all cases.

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Enjoy the music, not the equipment.