It's interesting that a DAC with a little rolloff in the extreme highs seems to sound pretty good. I suspect this rolloff is real, not a measurement artifact. Kingwa's explanation that the lowpass filter is doing this makes good sense. He's right that PCM has a TON of high frequency noise in it, going way up into the mHz range. That is inherent in the bitstream coming off your digital source, and unless you take steps to filter it out, and filter it GOOD, this crap is going to end up being fed to your audio amp stages. You can't hear this noise, but your audio amp stages won't like it and this supersonic noise can cause your audio stages to distort the audio you CAN hear. Feed a little 1 mHz signal to a typical audio stage and it can get saturated and do weird things to the nice audio you're trying to listen to. So a filter that aggressively keeps this stuff out of your analog stages is a great thing, and a really good filter might have a little rolloff starting at 15 kHz.
Note that most people over 25 years old cannot hear to 20,000 Hz anyway. Many people over 12 begin to show a rolloff in upper treble hearing. Over 40? Forget it!
Audiophiles might do well to have their hearing tested once in a while, and tell the audiologist you want to have the upper treble range tested as well (normal audiology tests don't test up very high.) Don't forget- your ears are your most important component!
Most adult audiophiles are surprised that their hearing above 12,000 Hz isn't really that acute.
SO: a little loss above 15 kHz is usually not audible, but a really good supersonic filter often IS something that you can hear as a sonic improvement.
Measurements don't lie- you just have to understand them. What you want are "good" measurements and "good" doesn't always mean "flat up into the broadcast band." Especially when it comes to DACs.