In my opinion, balanced sounds much better than SE. The gain setting will be driven by your headphone (and of course how loud you like to listen). My Sony Z7's use balanced high gain, with volume averaging 55 to 65 (out of 120) depending on the music. Older stuff seems to need power. I finally got a balanced cable for my Meze 99's. They are so easy to drive that I can't use high gain in balanced mode. I run 60 to 70 in low gain and they sound awesome. I expect my new HE4XX's will require high gain and might hit the highest numbers so far.
I do not listen loud, but I sometimes go for many hours.
Just one opinion and I am sure you will get more. There are already quite a few in this thread, if you go right through it. Of course that may take a while.
Shane D