Disconnect at least the right channel loopback, you can leave the left loopback in place if you want REW to automatically correct for the soundcard response (need to select the box in the soundcard settings to enable that).
You don't need to check the options to control output volume unless you manually select the input and output devices (rather than just using default) and you want to have REW set the levels when it starts up rather than controlling them yourself via the soundcard mixer. On some soundcards REW doesn't have access to the volume controls because the driver doesn't make them available, and under Vista the mixer doesn't work the same way as under XP so there aren't the same capabilities available to REW. In those cases best to leave the devices as default and check levels when you start REW, otherwise it can be a useful convenience to check the boxes and have REW restore the required levels each time it starts.