With the Arrow 4G, I found that the gain switch has effects on frequency response (after readjusting to equal volume), namely the character of the treble and how forward or flat the midrange is. Gain itself, assuming it plays loud enough, or doesn't have noise, doesn't have anything to do with this.... Interaction seems to be with the impedance of the headhphones and the amp's output impedance which probably changes with gain. Just test closely.
I can't recall if I preferred gain 1 or 2 with HD650. Left everything else flat. Listen for smoother, less sibilant treble.
I use gain 0 with my PFE 232, everything else at 0 also. The PFE has emphasis on bass and treble, and I found the treble was smoother at gain 0 along with a fuller midrange to counter the v-shaped response of the PFE 232.
I've upgraded my HD650 setup to a Ray Samuels SR-71B amp (still unbalanced cabling). Much more authority and clarity, but at 2.5 x the price (and size) of the Arrow, I think it serves to recommend the lower-cost 4G owing to the relatively modest sonic differences.