With a slow reconstruction filter, the DAC will output a mirror version of your signal as ultrasonic garbage. This can cause a multitude of complications that might end up affecting the audible frequencies. And from a more philosophical point of view, having the DAC output a bunch of ultrasonic crap on top of the input signal is not really acceptable when we're chasing 120 dB SINAD perfection.
However, your upsampling process is most likely already applying a brick wall filter to the signal at 20 kHz, and a pre-filtered signal with a high sampling frequency makes the work of the DAC reconstruction filter really easy, so the slow filter is probably enough to avoid any ultrasonics. I see that the slow filter in the E30 attenuates the signal a few dB in the audible frequency range, could be that this is what you hear and prefer, although my money's on placebo (no offense, we're all but humble servants of the mighty placebo god).