I actually think you misunderstand how the Destination button works.
The purpose of the button is not to select a single destination for the LFO, but to select which Destination you are affecting with the Depth knob.
If you look at one of the JD-Xi software editors (for example my
JD-Xi editor), you will see that you can set Pitch Depth, Filter Depth and Amp Depth separately.
So with the Destination button you simply select whether the Depth button is changing Pitch Depth, Filter Depth and Amp Depth. You can change all three Depths individually by simply setting each and then switching to the next.