Create Direct Profile with Kemper DI without connecting a cab?

It's harmful for your amp. The amp needs to see a proper load (cab, attenuator, loadbox). The Kemper DI is not a loadbox.

as lightbox said, it is extremely harmful to valve amps to run without an appropriate load connected. The end result of running a valve amp with no load or a load lower than required (connecting a 4ohm cabinet to a 16ohm output for example) will be that the amp’s output transformer goes into meltdown and will require an expensive repair.

on a separate note, your comment that the speaker isn’t required for the amp’s sound is actually incorrect. The amp and the load connected to the output transformer perform as a single system. Changing the load from say 4 ohms to 16ohms will actually change the way the amp responds. The Kemper profile will capture this even though you aren’t profiling the speaker (it’s impact on the power amp is still captured).

Quote from MetalMauce

but what if the amp has a power attennuator built in? One that allows to completely shut off the poweramp and use IR's instead (such as ENGL IRONBALL SE)?

Then you can use the separate output, I think it's called IR output on the amp. No need for the Kemper DI. The speaker output of the amp will not carry a signal if you shutoff the poweramp. So the Kemper DI can't do anything but silence in this case

The cabinet is required to produce an authentic PROFILE. This is stated and explained in the Main Manual directly following the picture, that you referenced.

Quote from MetalMauce

but what if the amp has a power attennuator built in? One that allows to completely shut off the poweramp and use IR's instead (such as ENGL IRONBALL SE)?

as long as the attenuator supplies sufficient load for the output transformer you won’t do any damage. However, an attenuator doesn’t respond to the poweramp in exactly the same way as a real speaker. Attenuators fall into two camps, simple resistive load and reactive load.

A speaker has a nominal load quoted of say 4ohms. However, the actual load varies with frequency and the curve varies between speaker types.. A resistive load basically supplies a fixed load (which a speaker doesn’t) whereas a reactive load provides a variable load designed to replicate an actual speaker. Even a reactive load only tries to replicate a single speaker model (which may differ from the speaker you normally use).

Does any of this actually matter? I depends. The difference in tone can often be quite subtle and the ond result is subjective. Some people actually prefer the sound of the amp with a basic resistive load over that of the real speaker load. Try various options and see what you like. As long as it sounds good to you then obviously that’s all that matters.

But in answer to your original question. You won’t harm the Kemper by not having a speaker attached.

Why would you want to do this? Because there’s no cab around of because you want to profile in silence? You could consider getting a UA OX or Torpedo if that’s the reason, you can profile through those with fairly good results.

I'd also suggest if you are in a situation where you need to profile silently that you should probably just purchase profiles done in studios by pros.