There is absolutely no shame in admitting that something's not worth the extra money for you. And in the world of audio the laws of diminishing returns are pretty high. An Explorer is such an incredible bargain in headphone sound that all the rest of the gains are going to be small and expensive. If you don't need the Director than avail yourself to Crutchfield's excellent return policy. You'll have a great start on a pair of IE800's, and you'll be giving someone else the chance to get one as an open box special.
Are you comparing with HD or CD quality material? I think the Apodizing filter in the director only really improves CD quality sound when it upscales it to HD.