As can be seen in the new features (see below), the DEX versions have been removed.
If you want to use DEX features, you can install the PEX version. However, to avoid errors, you should install the D-PEX version first. In any case, you should Enable QA Flags before update in the menu.
CFW DEX → Update to CFW D-PEX → Update to CFW PEX.
If you want to switch from DEX to CEX, you should also install the D-PEX version first. Enabling QA Flags before update is also recommended here.
CFW DEX → Update to CFW D-PEX → Update to CFW CEX.
The installations can be performed via USB and the XMB; the recovery menu is not required.
If you are already on custom firmware, no matter what version, or on original firmware not higher than 3.55, you can easily install the CFW with a USB stick (FAT-32) via the XMB. The recovery menu is not necessary for this.
However, if you have installed original firmware with a version higher than 3.55, you must first downgrade (assuming you have a suitable PS3). You can find more information about this in this post.