Rrog has summed it up nicely. I've had a Sony XA7ES player and tried driving the power amp directly, bypassing the preamp. Although the sound is cleaner which gives an impression or illusion of a purer sound with higher levels of refinement, there is just something missing in the music. The dynamic shadings are somewhat missing, the punch and drive in music. In other words, music sounds a bit flat.
I've managed to listen to a high-end DAC driving a Krell FPB amp directly at a friend's place, a dCS Debussy. We A/B'd between running the DAC directly and having the preamp in the chain. Although the DAC gave very good results driving the amp directly, producing a transparent and almost faultless sound, the same phenomena still applies. Having said that, I can probably live without the preamp with the dCS Debussy. The preamp brings a tiny bit of involvement into the music, small but appreciable.
In summary, with the Sony CDP, for the best results I feel it's best not to drive the power amp directly with the internal volume control of the player, though there is no harm if you want to try and see how things work out for yourself.