Listening mode and DFU mode are two different and mutually exclusive things.
Holding down the SETUP button until the LED blinks blue starts listening mode, which makes the Photon USB port a serial device. This mode is used for Soft AP, phone app configuration, and Wi-Fi configuration by serial. And, less commonly, ymodem firmware downloads.
Holding down SETUP and RESET, then releasing RESET and holding down SETUP while it blinks magenta until it blinks yellow starts DFU mode. That makes a Photon (and Electron) USB port a DFU device, able to be communicated to by dfu-util, mainly for firmware downloads. Some configuration parameters can be set in DFU mode as well.
Windows requires two separate device drivers, one for serial and one for DFU, because they’re considered to be different kinds of USB devices by Windows.