As long as a trigger device supports zwave direct association, you can set up direct association regardless of what else you are doing with that device with SmartThings. Just remember that you will be limited to only basic commands and only to other Z wave devices which are within 1 hop of the trigger device.
Once set up, the direct association will work even if the hub is missing altogether.
“Multilevel Switch” in this context means basic commands for dimmers.
Here are the associations for the Wallmote:
Remember also that once you set up direct association, it always works in exactly the same way. You can’t limit it by time of day or whether someone is home or not or a smartthings mode. Every time the trigger action is performed, the basic commands will be sent to the target devices. And you will never be able to disable it without completely resetting the device. So you may need to think that through also.
Also note that it doesn’t support double tap. Just touching each of the four buttons activate direct associations as noted at that link.
In a smartthings environment, direct association is most useful for setting up a “virtual two-way” since it’s likely that you always want the auxiliary switch to trigger the master. But once you get into these multi button switches, people tend to be more likely to want to put various logic restrictions on them.
Also remember that the mobile app will likely get out of sync with the other devices when you use direct association.
But you may find it helpful, it’s just probably going to take some careful planning to get the results that you want.