When you select "wave" as shape, you need to use your "value" knobs or buttons to select the right one, since you have access to a list of 64 waves.
Make sure you select the sine wave (and be sure to try out the others, quite unique feature on the Virus

)
Now, I believe you're possibly looking for one of two things:
1. you looking for an option for the LFO to "restart" with each key you play? On the "LFO EDIT" menu, select a value superior to 0 (completely off) on the "trigger phaser" (+1 gives you the desired effect I think.
2. The LFO is polyphonic by default and maybe that's not what you're looking for either. So set the LFO mode to Mono if you want the same LFO to go through all the notes you play. If you want it to sync to tempo, just set the clock on - in which case having the trigger phase on and off will produce different results.
3. this is just a note: the sub oscillator follows oscillator number one! so if you're modulating just oscillator two, for example, and have the sub oscillator mixed in, the results will not be pleasing to the ears imo. Making LFO pitch modulation with LFO 3 is different, make sure you experiment with that also
EDIT
once you select the destination for LFO modulation, you can use the value knobs and buttons to select a value for the modulation, either left (negative) or right (positive). That's it!
EDIT
forgot to say: instead of using the pre-wired destinations on the LFO section, you can scroll down to "assign" and choose transpose which is the equivalent to "main pitch" you find on many synthesizers.