Well, at 1:24, the key steps up 1/2 step, and at 2:10 it steps back down to the starting key. You may or may not have caught the 1:24 step up because the overall intensity is still low. By the time you get to 2:10, there's a bit more energy. BTW, there is another 1/2 step up at 4:01, and that key remains until the end.At 2:10 in the linked video, the song changes key slightly lower. With the Audeze (my guess is due to being closed back -- I've yet to hear an open back planar so keep that in mind) it sounds on paper the same. But what it lacks is the emotional shift that grabs you by the balls and tells you "hey, we're going somewhere else for a minute - buckle in..." The song takes a turn not only in key, but in emotion. I hate that it's such a subjective descriptor and is not great for comparing headphones or speakers, but something about the two elicits different responses and the Grado has a more pleasing emotion response. There is some improv that elicits a feeling of almost panic and urgency I can't "feel" as much with the LCD-2 Closed, even though I know it is objectively the same. If I had to put it on paper it would have something to do with space. I'm able to notice the changes in distance when the sax has to step back from the mic(s) a bit.
The realism of most Grados is what allows you to catch that subtle shift as an emotional shift. Senn and most planars are going to smooth out the sound too much and lose the sense of realism and dynamics that adds the emotional component.
BTW, thanks for the turn-on to Mammal Hands -- I'm checking out their other stuff on YT, will need to get some of their music.