Hello Mikey,
1st: You can fold MYSPHERE 3 to get it slim packed for transportation. (See picture) A proper slim case to add might follow once.
2nd: Based on the fully open design the membrane has to move approx. 10 times more than a membrane working in a headphone with closed front cushions to reach similar sound pressure at low frequencies. This can cause little more distortion at extreme bass compare to other big cans. "where no advantage there is no disadvantage". The major aim of the design of MYSPHERE 3 is targeting natural sound and stage.
b.t.w.: The sound track you mentioned from Hans Zimmer is a great to listen - I just did now!
3rd: The sensitivity is 96dB/mW when the drivers are close to the ear. Which is similar to a HD800. However, you are right, when opening the flaps - it reduce.
But for most convenient sound pressures up to 100dB SPL the MS3.2 is working well even with a slim transportable USB amp like the Dragonfly Red - see the picture again.
BR heinz