I assume sub out from the WiiM should go to LFE?
Absolutely yes. If your REL sub only has one RCA input for LFE and line input, you also must turn the crossover dial fully clockwise to the LFE position.
Most REL subs have different RCA inputs for LFE (the sub leaves the low pass filtering to the AVR or - in this case - amplifier, the crossover dial is ignored) and for line level (the sun's own low pass filtering is applied, the crossover dial sets the upper frequency for the sub). Since yours does not, you have to make sure the knob is in the correct position.
If so, what is the difference between connecting to LFE from Sub out vs. high level connection from the speaker outputs to the speakon socket?
The WiiM Amp can cleanly divide the signal between the sub (everything up to the crossover frequency, e.g. everything below 100 Hz) and the main speakers (e.g. everything above 100 Hz). This clean separation is not found with many stereo amplifiers but mostly just with AVRs (when configured correctly). This approach makes integration between mains and sub a much easier business. There are well defined filter slopes complementing each other and the summed output is much closer to flat than with feeding the full spectrum to the main speakers.
If you wanted to use the high level connection, you would have to set the subwoofer setting in the WiiM Amp to off, because otherwise the signal taken from the speaker outputs would no longer contain bass frequencies.
REL makes a lot of fuzz about their (not quite so unique) concept of having separate connections for movies and for music. The truth is, if a stereo amplifier implements a proper adjustable crossover for mains and sub, then using it is almost always better then trying to somehow match the subwoofer to the mains speakers "natural roll-off".
Don't fall for any outdated recommendations to somehow align the crossover frequency (set in the WiiM Home app) to the lowest frequency your main speakers can play. It doesn't work that way. If you have large cloorstanders, then a crossover frequency between 60 and 80 Hz could be fine. If you have smaller bookshelf speakers (and your sub sits somewhere between them), don't hesitate to try out crossover frequencies between 80 and 120 Hz.
You might have to readjust or recheck the phase and the volume setting with every change to the crossover frequency, but it should be worth it.