Hi GanChan.
This is not a dumb question, and you chased out 3 terms that commonly get randomly interchanged.
Technically, efficiency should be the sound level produced per unit of power delivered (typically expressed in mw for headphones). The reason that this term gets mis-applied is that it depends on more than the volume control setting. If I set my volume control at a point, then switch to higher impedence headphones, my amp will be delivering less power to the high impedence phones. If they are not as loud, they are not necessarily less efficient. If they are as loud, they are more efficient (more sound for less power).
Loudness implies actual acoustic levels, and is typically measured in decibels, which is a logarithmic representation of pressure fluctuations. Loudness is a function of power delivered and efficiency. As elluded to above (or maybe just ocluded) delivered power is proportional to voltage (a function of the volume knob) and inversely proportional to impedence (unique to a particular set of phones).
What I am trying to get at is that the volume knob setting on a receiver or IA does not determine either power or sound level by itself. As a limiting case, consider a receiver with no speakers or cans connected. Turn the knob all the way up, and the delivered power is zero! That is because the impedence is zero. Ignore those dancing power meters, they only measure voltage.
What you do need to worry about is the particular amplifier's voltage limit. That is where clipping and distortion will begin to occur. That limit is dependent on the knob setting, and will be consistent regardless of load with a given signal source. You aren't running out of power, just voltage. fwiw this can be fixed with a matching transformer.
Trust your ears to some extent, but we set volume levels based on several factors as well. I am usually listening for a certain level of detail, and want the full spectrum present. If a particular frequency range is weak, I will tend to crank the level up until the missing info is present. If the particular low spot is due to masking noise (say in a car) I may end up at quite high levels without even realizing it. I believe that this is a reason that Etys seem to have a lack of bass: you can listen to them at such a low level that the ear's natural LF rolloff becomes apparent.
Now your last point baffles me. You mean that I am not supposed to crank up classical music? That would explain some of the strange looks that I get at stop lights.
I hope that I have clarified this issue to some extent. If not, please realize that we are having Oktoberfest where I live!
Later
gerG