I always keep the volume on my laptop maxed out when it is connected to an amplifier, or my TV, etc. I do this solely for the fact that when I do plug in an external device that bypasses my laptops circuitry, it automatically maxes out the volume (and when I turn it down, I don't notice any difference in sound quality...other than the fact that I have to turn the volume knob on my amplifier up!).
Significance of a headphone amplifier - Page 2
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1) No resolution loss at the source - you output a full 16-bit (or higher depending on your source material)
Also, amps aren't just meant to get the headphones loud enough :
2) less distortion at a higher level
3) provide more voltage or current, depending on which one the headphone in question needs more (that's why some amps work a lot better on some headphones and not so much with others, even if the frequency response is measured to be flat)
4) given #3, that also provides headroom for dynamic passages; also some amplification circuits (even stand alone amps) can be less that ideal that some songs can sound "slow" whereas other amps can make a system sound very nimble and musical with an equally capable source and headphone/speaker
That said, of course, if you already find a small fraction of the Windows volume to be close to deafening, it could be one or another cause. First, you really might just be sensitive to the decibels and you don't have to overcome as much background noise,* in which case at the very least you will at least be listening to proper digital settings but depending on the amp you might end up with one that has too much gain and also a potentiometer that has balance issues (ie, some pots have uneven volume up until about 9:00 on the knob).
Second case scenario, maybe it isn't really the dB's you're sensitive to, but distortion as well. A distorted signal for a recording of otherwise reasonable quality will sound either too veiled or grating (or a mix of both). In some other thread (that I can't locate) I've discussed how, with my Meier Cantate.2, I'm closer to hearing damage because I can listen louder. All my other sources have enough voltage to get the HD600 loud enough, but the distortion is grating on the treble or a mudslide in the bass (or a bit of both), so I turn it down. With the Cantate, at some point my brother walked into the room and he was sitting there with his tablet for 15mins before I noticed, and that's only because the track switched (yeah, a 13-min song from Kamelot; then again, Dream Theater has a 26-minute song). I took the headphones off, and when the next track started, my brother asked how soon it will be before I lose my hearing, because to him the sound from the back of the HD600 drivers were as loud as using the iPad2's speakers, but a lot better. I barely noticed because I was enjoying all the detail in the music without hearing any unpleasant sound through the headphones. So yeah, watch it with the volume knob - mine's on low gain and it's that loud at 1:00.
*which you might have to deal with on open headphones - I'm listening through my HD600 right now and I can just barely hear the hum from my A/C. With the A/C off I'm 1/8 of a turn lower on the volume knob. SQ-wise there's not much difference with my stand alone amp, but not so if I'm using the volume control on my laptop if it's plugged into the headphone output (ditto my iPad2 and Galaxy S3).