Yes, set the volume to 0db. Now be careful if you ever plug ur headphone back into the Clip+ with volume set to 0db, because that is freaking loud (VERY loud) and will hurt your ears and hurt your IEM and most likely both.
I personally do not like to apply equalization (i.e. compensation at different frequency bands). you should only experiment with that after you have exhausted all other adjustments
You should not be setting the gain to the | notch. gain is O, I or II right? set it to O, and increase the volume on the Arrow. with IEM, you should use the lowest gain for lowest noise. Try it!
Start with all settings on the arrow to O first.
The reason I'd set the gain to the middle setting ( | ) was that someone in the PFE232 thread said they felt the added gain gave their 232s a bit more in the midrange, where it is weakest.