Interestingly enough, I made the same transition.
I would encourage you to give them some time. Better yet, do some A/B back and forth with the phones and some of your favorite music. Doing that made it obvious to me that the HE's had some obvious advantages (even if I wasn't blown away initially either). I still like the 595s, but they just do not keep up with the speed, bass, and transparency of the HEs.
After a few days of listening - I was hooked. There is no going back. Get the velour pads also - they definitely have been more comfortable for me, and provide a somewhat less "fatiguing" sound to me. Others of course will also recommend 'modded' pads. But I would get to know the phones as-are for the time being. Again, I was also initially freaked that I had just wasted some serious cash - I was expecting something dramatic. The sound quality upgrade is there, but then again, the "sound signature", in my opinion, is quite similar to the 595s. Each are a bit aggressive and seem to provide a fairly balanced presentation.
I have been doing a lot of A/B over the past few days (using velours) and I agree--the sound quality upgrade exists. To my ears the HE-400 has a superior soundstage, more prominent bass, and substantially increased clarity although the treble is a bit overpowering at times. However, I also feel the HE-400 sounds hollow at times as well compared to the HD-595.