Hey, I would say let the HE-500 for a while before getting a final picture. Well of course it is partially you getting used to the sound, so it doesn't have to be burn in. However in my case, I went from a used HE-500 fully burned in to a new replacement which sounded bad at first. After a while it finally returned to the original sound. I would give it a week. Regarding the volume level for burn in, play slightly louder than what you are used to.
I don't know which O2 you have. My O2 is from JDS Labs with the stock gain settings. At first, I kept going to high gain in an effort to get more bass thump, but it had woo too much distortion. After getting used to the O2's sound, I kept it at low gain. For the past few months, with HE-500 and LCD-2, I keep it at low gain position and stay anywhere from 11-1 o clock. No need for high gain for sure.
My O2 is configured to 1x and 2.5x ( not 6.5x ).
So far no sibilance and I'm pretty happy about this aspect.