Lol I was just kidding about getting banned for dissing headphones. Regarding imaging and soundstage, one situation when I really appreciate headphones is reproducing a live recording done with a stereo microphone pair in a concert hall. Same with recordings made in stereo in smaller spaces, like chamber music for instance. With an open headphone, the sense of space can be insanely immersive, even more than my speaker system.
I think what is going on is that the recording is already chock full of room reflections and spatial cues, and the headphones preserve that sense of space without adding anything. Speakers, as have been mentioned, add the reflections of the listening room to the sound, and this tends to overwhelm the sound of the room that the original performance occurred in. Unless you have an anechoic chamber for a living room, of course!
People praise Grados for rock music. The best thing I ever heard on my SR80Es was Mozart quartets! Sense of space was amazing. People say that these on-ear cans have a tiny soundstage, and they're right. But when the music itself already has a sense of space, they reproduce it impeccably!