I am pretty interested in this discussion since I recently went balanced with both HD800 (XLR) and Westone UM50 pro (4.4).
I followed the steps of going balance first for the interconnections (SMSL DO300 -> toppi L70, worlds best cable mogami+neutrick ), and after some weeks for the headphones.
When I tested the interconnections I didn't hear much difference, trying a bit of blind A/B, since I can connect XLR and RCA simultanously but honestly there was not much of a change except for the volume.
What actually made my day, was when I swapped the headphones cables, for both.
Cables are "cheap" silver plated copper bought from amazon (50€ each), just for testing, didn't expect any change (except for volume) and pretty sure I would return them
The problem is that the changes are pretty evident, and can be summarized in having a much better imaging (the instruments are better placed in the space, the sense of being in a virtual room is more prominent), bass are slightly tighter and the rest of the spectrum is slightly smoother (but the phones are not brighter".
I know you are already thinking I'm hearing things just on expectation, but actually my expectations were to send the cables back.
I tried a blind test with HD800 (with westone I would feel the cable mounted when touching behind the ears). Changing the cable, playing some tracks changing the volume as I pleased, and changing again the cable (or even not). honestly I would pick up the cable even deaf.
I would like to have an explanation to this (we have 4 variables here: different connection, different cable type, different cable lenght, different amp architecture) or is this always the same "you are imagining things"?