Here is a cursory answer.
Adding NFB will lower the amplifier’s output impedance and also increase the damping factor(DF). This can be advantageous for some(but not all) speakers. Adding this NFB will lower the gain of the amplifier thus the lower volume you note. Some speakers will sound better will zero NFB, it just depends on the particular speaker in use. For example my speakers sound their best with zero NFB amplifiers. Listen to both settings and choose what sounds best to you.