I listened to my magni 3 via saga this weekend. I loved it. Set the volume pot all the way open for pass through, and use saga to control volume. Best Magni 3 experience yet. Granted I was employing scotch mod, but still it was awesome. HD6XX'S. I preferred the sound with low gain.
I did ask schiit about this awhile back. Basically I was told there is no difference in quality (I didn't ask about distortion), and that I should use whatever sounds best to me.
Personally I like the low gain better, I feel like it gives more control. The sound is less aggressive, and I feel like I can listen to music louder through low, then high, from an enjoyability standpoint. To each their own. I will sometimes switch to highgain if I'm listening to 80's rock or something with less musical instruments involved. ZZ top for example sounds better through high gain, only three instruments mostly, and I dont feel like I'm missing anything. I feel like high gain doesn't allow me to hear as much of the music on more complex or detailed songs. Queen and classical is much better to me on low gain.
Play around with it, listen to what you like, don't obsess over your gain setting for three months like I did.