Not at all.
I have the same setup and it works a treat.
You just connect the headphones (out) on the Trio with the Aux (in) on the THR. It works a treat.
I find the Trio a really useful bit of kit. It’s simple to use and fun to create backing tracks with. Most of the negative reviews have to do with it not being that flexible for on-stage live looping or hifi recording, but as a looper/practice/songwriting tool or jam buddy they’re great 
As I said above, if you buy it, sell the jamMan, which you won’t need and enjoy playing around with it. If you don’t like it you can always resell