Just got mines today along with a Fiio X5 I got a few days ago and I was surprised there's not a high gain option as I have to bring my volume up to about 60/75 steps to reach comfortable listening levels on my HD 800 (Although with high gain on the X5, volume is at about 90/120). The MQS Streaming implementation is well done and every easy to use so far. The load time of the device so far is a lot longer than the Fiio X5 as the X5 loads in about 1/3rd the time of the AK240. I've been listening to it for a couple of hours but I'll talk about the sound aspect of it a bit later.
Try to source for a good 2.5mm TRRS balanced cable for your HD800 to go with AK240. It may help to boost the power output a bit and make the sound fuller too. The 3.5mm SE LO is really meant more for pairing with IEMs than high impedance cans.