1) Am I right in saying that speaker cables need to be used from the amp to DI box, then from the box to cab?
Not necessarily. If you connect the amp to a Type 85 and connect the Type 85 to your speaker, you are simply connecting the speaker and DI in parallel. No need to put the DI in the middle, as there are likely to be multiple ways to make a parallel connection.
The DI does not have to be connected to the speaker at all. For example, connecting amp to DI and amp to speaker works unless you have an old SVT with switching speaker jacks instead of an impedance switch.
You could also put the speaker in the middle. I.E. Connect the amp to speaker, and then connect the speaker to DI.
As long as the connection is parallel and the amp is configured for the proper speaker load, you're good.
I'm not being facetious, I'm just genuinely curious, but what sounded unnatural? Was it too bass-heavy, too mid-heavy, thin? I'm only so interested because I don't know anyone personally who's gone this way before so I have literally no yardstick for this.
You should set your amp to get a stage sound that suits your needs. IMHO, If you want the audience to hear the same sound, the most accurate way to capture it is with a mic. PA speakers and DIs like the Countryman are relatively flat. The frequency response of the Ampeg 810 is extremely unflat, as it rolls off the lows and highs, so basically what goes into the speaker and what comes out are drastically different.
The way a speaker level DI sounds unnatural will depend upon how much drive you use, and the way you EQ the amp. But in relation to your 810E, the DI will always have more low bass and a lot more highs. The contour of the mids will also be a lot different. If you boost the highs and push your SVT to get a bit of grind with the 810E, you may find this sounds harsh and buzzy in a flat, speaker level DI.
Some people prefer to use a DI with a built in speaker sim, are at least an LPF. One thing a speaker sim does is apply high pass and low pass filtering to somewhat mimic the frequency response of a speaker. But all speakers have a unique response curve. IMHO, a speaker sim is useful, but will not authentically capture the sound of your speaker unless the sim is designed specifically to emulate an Ampeg 810E. Keep in mind, many speaker sims are designed to emulate guitar speakers.
Another thing to consider, since each speaker sim colors the sound in a different and unique way, there is a bit of a learning curve to figure out how to dial each one in. So if you always use the same tech and mixing board, maybe a speaker sim would be a good choice. If you frequently use different techs and PAs...maybe not.