The delay will work fine in front of the amp, but when you change channels it will be pretty much useless on the channel you don't have it set up for. If you're playing distorted, the delay with mimic the distortion fading out, if it's clean it will be a clean delay.
In a perfect world the Delay works best in the loop, but I never really used my ROV's FX loop so I couldn't tell you... but in my Triple and Road King the loop works great for that.