Put another way, why doesn't denyhosts simply reference /etc/hosts.allow? Why does it have it's own file?
Some of the denyhosts tutorials you see instruct the user to add their management IPs to this file while neglecting to even mention /var/lib/denyhosts/allowed-hosts. Are these tutorials simply wrong? Or would this work as intended (i.e., would it prevent denyhosts from locking out the IPs added to /etc/hosts.allow)?