I should have checked the spec before indeedThat doesn't sound good to me...at all. Why a $400 gear shouldn't perform at its best with the stock PSU? If it does, then either the design or the price is wrong.
It shouldn't change anything to the headphones output. Specs is 68mW under 32ohms, which is pretty close to what @amirm got... Not to mention very weak.
I'm sorry for Pro-Ject, but this unit is now outclassed by the similarly-priced M500, in every category.