The only loops I use are for MW, and they're un-amplified, which seems fairly standard.
But I have heard of guys using amplified MW loops, and I've heard of amplified SW loops before -- usually indoor ones.
The "tune" and "band" controls imply that what you have is a sort of preselector, which is (to put it loosely, as I'm not a ham or radio expert) sort of like an amplified antenna tuner.
No idea what a 'delay' control would be for.
I'd try it at low gain, mainly on ultra weak signals you may want to ID (like on a ham band, perhaps) and see if it helps.
Most of the time, you probably won't need it. Your antenna may be more than enough for reception with a DX-398.
DX-398's have plenty of gain through the external antenna jack; and being a digital portable, they can be susceptible to overload (I have a 398 and have not experienced this, but I've read some comments on other forums where guys have said they had overload issues with a 398, and if memory serves, I think Chanter on this forum mentioned she had some overload issues on MW with her 398).
Good luck with experimenting.