You know, I realize your reasoning for the played-loud thing is because of the interaction between the different sections of the amp, but I've found this to be true even when playing facsimiles of Marshalls. The whole Marshall tone thing just doesn't sound very good at low volumes. Some amps sound great at low volume, but I think the roar of a Marshall is so so much better at loud volumes, because it just kind of descends into fuzziness and loses a bunch of the power when it's soft. And my only experience with it is from modelers, pedals, some similarly designed tube amps, and the music I've listened to on recordings for years and years.
I just find it curious that for me, it's not just about power tube saturation or anything, but that low volumes don't do justice to the sound.