Once you are well above Vmc you can fly OEI pretty much as you wish, wings level or not. It might be reasonable to trim out wings level and heading constant, in which case you would have some sideslip on, and aileron trim to counteract the natural lateral stability.
However, the cases referred to in the JAA questions are for Vmc, and if you want minimum Vmc you will have to adopt the wing slightly down toward the live engine state. Any other condition is either using rudder to generate unecessary yaw forces or has placed limits on aileron authority or performance.
Keith's intermediate stage will not give you min Vmc.
Thus, in the two states postulated in the JAA questions you are either wings level but have sideslip on and are moving laterally and not going where you are pointing but the ball is in the middle or you have bank on, no sideslip, no yaw and no lateral movement but the ball is off toward the live engine.
The whole point of the exercise is for pilots to understand how to fly at Vmc in the most critical case.
Dick W