I think it depends on how much you are driving the PS-2. You will definitely get additional tube and output transformer characteristics at loud volumes. And some people like this, particularly in self-attenuation mode. So really you have a choice; see what you like the most, I would not say there is a wrong way to go here, trust you ears and experiment
i am curious why you would plug the FM9 into the fx send instead of the line in like the manual suggests? i have a PS-2A in route that i purchased today which i will be primarily used with my FM9 and also maybe my tone king royalist