Analog electronic (PGA) volume controls can have their quirks on the extreme low end of their range. Back in the day I noticed that an AOR AR7030+ sounded much better with an attenuator on the headphone output, too. I suspect that input impedance of these may actually be variable (at least for the second stage), which can cause issues if coupling capacitors are undersized. Treble response can also be an issue presumably due to parasitic capacitive coupling, as shown for a BD3491FS (e.g. Yamaha R-S202, though originally marketed more towards micro stereos and the like) here:
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This part requires external coupling capacitors between two stages, so this is how a bass response issue at low volume may come about. If treble is elevated on top of that, it's pretty much a perfect storm.