Update: at the risk of being accused that I'm imagining things, I found out today that wearing the IE800 downward with a shallower seal makes them actually less sibilant than over-ear with a deeper seal. It's a slight but noticeable difference and goes against all my prior experience with IEMs, but yeah, that's how I hear it. Maybe Sennheiser tuned them intentionally for a shallower seal, I don't know... maybe someone with a better technical understanding of these things will care to chime in...
Another thing that's different between over-ear and downward is soundstaging: wearing the IE800 over-ear makes them enter the ear-canal at a different angle than when worn downward. As a consequence their soundstage appears to be noticeably wider, but center image becomes weak and L/R imaging somewhat disjointed. Wearing them downward sacrifices a little bit of width, but results in better depth and increased coherence across their virtual stage, so it's overall preferable.
Bottom line, so there are three good reasons for wearing the IE800 downwards: no hassle with shortish cables, less sibilance and more coherent soundstage. However, there's also a severe downside, and it's cable microphonics. Therefore I feel compelled to address the following humble petition to the manufacturer of these luxurious high-end IEMs:
Dear Sennheiser, if you happen to read this, would you please consider to include a $1 shirtclip with the next revision of your $1000 IE800? Thank you!