If you want the best "sound" in terms of minimum distortions, noise etc., and without using DSP such as room EQ/correction, then you should connect the CD60 analog outputs to the Denon's analog inputs, and use direct or pure direct mode.
If you want to use room EQ/correction and/or other processing, then you should use the coax or optical outputs of the CD60, for reasons dlaloum explained.
Lots of people, including me, would not bother with preserving the signal in the analog domain, because at the level of the CD60, AVR-X4700H, room EQ/correction is a bigger factor on perceived sound quality than what Marantz marketing have you believe on their products such as the CD60, but if you, obviously, are sold on those info, then go ahead and do the best in connecting them.